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The arbitrage-free interval of American contingent claims with frictions - MaRDI portal

The arbitrage-free interval of American contingent claims with frictions

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Publication:932512

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zbMath1211.91239MaRDI QIDQ932512

Meng Qingxin, Tang Maoning

Publication date: 11 July 2008

Published in: Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

hedging contingent claims pricing Doob-Meyer decompositions

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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