Actuarial bridges to dynamic hedging and option pricing
type: Item
instance of: scholarly article
title: Actuarial bridges to dynamic hedging and option pricing
zbMATH Open document ID: 0896.62112
DOI: 10.1016/0167-6687(96)85007-4
author: H. U. Gerber
author: E. S. W. Shiu
published in: Insurance Mathematics \& Economics
publication date: 1998-03-17T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 1129610
zbMATH Keywords: option-pricing theory
zbMATH Keywords: risk-neutral measure
zbMATH Keywords: dynamic hedging
zbMATH Keywords: Wiener process
zbMATH Keywords: perpetual American options
zbMATH Keywords: optional sampling theorem
zbMATH Keywords: optimal stopping
zbMATH Keywords: high contact condition
zbMATH Keywords: smooth pasting condition
zbMATH Keywords: arbitrage
zbMATH Keywords: Esscher transforms
zbMATH Keywords: security prices
zbMATH Keywords: fundamental theorem of asset pricing
zbMATH Keywords: equivalent martingale measure
zbMATH Keywords: self-financing replicating portfolios
zbMATH Keywords: Poisson process model
zbMATH Keywords: Margrabe option
MaRDI profile type: Publication
full work available at URL: 0167-6687(96)85007-4
OpenAlex ID: W1976953378
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description: scientific article; zbMATH DE number 1129610