Reaching goals by a deadline: Digital options and continuous-time active portfolio management

Advances in Applied Probability

Volumn 31, Issue 2, 1999, Pages 551-577

  Browne, Sid ^a  

^a Columbia University ^*  (United States)

Author keywords

Digital options; Hedging strategies; Martingales; Optimal gambling; Option pricing; Portfolio theory; Stochastic control

Indexed keywords

EID: 0033140979     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1029955147     Document Type: Article

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