Price systems constructed by optimal dynamic portfolios.
type: Item
instance of: scholarly article
title: Price systems constructed by optimal dynamic portfolios.
zbMATH Open document ID: 1054.91042
author: Manfred Schäl
published in: Mathematical Methods of Operations Research
publication date: 2000-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 1972735
zbMATH Keywords: martingale measure
zbMATH Keywords: utility maximization
zbMATH Keywords: optimal dynamic portfolio
zbMATH Keywords: pricing of options
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: s001860000049
OpenAlex ID: W2005790853
DOI: 10.1007/S001860000049
description: scientific article; zbMATH DE number 1972735