Pricing and hedging in incomplete markets

Journal of Financial Economics

Volumn 62, Issue 1, 2001, Pages 131-167

  Carr, Peter ^a   Geman, Helyette ^b   Madan, Dilip B ^c  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

^c UNIVERSITY OF MARYLAND   (United States)

Author keywords

Complete markets; G12; G13; Option pricing; Risk management; State price density; Unique Martingale measure

Indexed keywords

EID: 0000525686     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00075-7     Document Type: Article

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