Option hedging for semimartingales
type: Item
instance of: scholarly article
title: Option hedging for semimartingales
zbMATH Open document ID: 0735.90028
DOI: 10.1016/0304-4149(91)90053-F
author: Martin Schweizer
published in: Stochastic Processes and their Applications
publication date: 1992-06-25T00:00:00Z
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 91B60
zbMATH DE Number: 12141
zbMATH Keywords: frictionless continuous trading
zbMATH Keywords: semimartingale
zbMATH Keywords: local R-minimality
zbMATH Keywords: stochastic optimality equation
zbMATH Keywords: minimal equivalent martingale measure
zbMATH Keywords: option trading
zbMATH Keywords: option hedging
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: contingent claims
zbMATH Keywords: incomplete markets
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: Functionals of diffusion processes as stochastic integrals
cites work: Q3969647
cites work: Q3974816
cites work: Q3815091
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: A stochastic calculus model of continuous trading: Complete markets
cites work: Calcul stochastique et problèmes de martingales
cites work: Q3928742
cites work: Risk-minimality and orthogonality of martingales
cites work: Reinsurance in arbitrage-free markets
full work available at URL: 0304-4149(91)90053-f
OpenAlex ID: W2075679850
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description: scientific article; zbMATH DE number 12141