On the pricing of contingent claims under constraints

Annals of Applied Probability

Volumn 6, Issue 2, 1996, Pages 321-369

  Karatzas, I ^a   Kou, S G ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Black Scholes formula; Constrained portfolios; Equivalent martingale measures; Incomplete markets; Martingale representations; Pricing of contingent claims; Stochastic control; Two different interest rates; Utility maximization

Indexed keywords

EID: 0030490222     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1034968135     Document Type: Article

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