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Volumn 109, Issue 1, 1997, Pages 1-25

Optional decompositions under constraints

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EID: 0031231983     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s004400050122     Document Type: Article
Times cited : (137)

References (20)
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    • Bensoussan, A.1
  • 3
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    • Hedging contingent claims with constrained portfolios
    • Cvitanić, J., Karatzas, I.: Hedging contingent claims with constrained portfolios. The Annals of Applied Probability, 3(3), 652-681 (1993)
    • (1993) The Annals of Applied Probability , vol.3 , Issue.3 , pp. 652-681
    • Cvitanić, J.1    Karatzas, I.2
  • 5
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    • A general version of the fundamental theorem of asset pricing
    • Delbaen, F., Schachermayer, W.: A general version of the fundamental theorem of asset pricing. Math. Annalen, 300, 463-520 (1994)
    • (1994) Math. Annalen , vol.300 , pp. 463-520
    • Delbaen, F.1    Schachermayer, W.2
  • 7
    • 0002335001 scopus 로고
    • Dynamic programming and pricing of contingent claims in an incomplete market
    • El Karoui, N., Quenez, M.C.: Dynamic programming and pricing of contingent claims in an incomplete market. SIAM J Control and Optimization, 33(1), 29-66 (1995)
    • (1995) SIAM J Control and Optimization , vol.33 , Issue.1 , pp. 29-66
    • El Karoui, N.1    Quenez, M.C.2
  • 9
    • 0000492980 scopus 로고
    • Une topologie sur l'espace des semi-martingales
    • Lecture Notes in Mathematics 721. Springer, Berlin-Heidelberg-New York
    • Émery, M.: Une topologie sur l'espace des semi-martingales. In: Séminare de Probabilités XIII. pp 260-280, Lecture Notes in Mathematics 721. Springer, Berlin-Heidelberg-New York (1979)
    • (1979) Séminare de Probabilités XIII , pp. 260-280
    • Émery, M.1
  • 12
    • 0000415568 scopus 로고
    • On the pricing of american options
    • Karatzas, I.: On the pricing of american options. Appl. Math. Optim. 17. 37-60 (1988)
    • (1988) Appl. Math. Optim. , vol.17 , pp. 37-60
    • Karatzas, I.1
  • 13
    • 0039120644 scopus 로고    scopus 로고
    • On the closure of the family of martingale measures and an optional decomposition of a supermartingale
    • Kramkov, D.O.: On the closure of the family of martingale measures and an optional decomposition of a supermartingale. Theory of Probability and Its Applications 41(4),(1996)
    • (1996) Theory of Probability and Its Applications , vol.41 , Issue.4
    • Kramkov, D.O.1
  • 14
    • 0040153406 scopus 로고    scopus 로고
    • Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
    • Kramkov, D.O.: Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Probability Theory and Related Fields. 105, 459-479 (1996)
    • (1996) Probability Theory and Related Fields. , vol.105 , pp. 459-479
    • Kramkov, D.O.1
  • 17
    • 0002748348 scopus 로고
    • Espaces de semi martingales et changement de probabilité
    • Mémin, J.: Espaces de semi martingales et changement de probabilité. Z Wahrscheinlichkeitstheorie verw. Gebiete, 52, 9-39 (1980)
    • (1980) Z Wahrscheinlichkeitstheorie Verw. Gebiete , vol.52 , pp. 9-39
    • Mémin, J.1
  • 19
    • 84986777994 scopus 로고
    • Martingale measures for discrete-time processes with infinite horizon
    • Schachermayer, W.: Martingale measures for discrete-time processes with infinite horizon. Mathematical Finance, 4(1), 25-55 (1994)
    • (1994) Mathematical Finance , vol.4 , Issue.1 , pp. 25-55
    • Schachermayer, W.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.