A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market

Stochastic Processes and their Applications

Volumn 90, Issue 1, 2000, Pages 19-42

  Mania, M ^a  

^a A RAZMADZE MATHEMATICAL INSTITUTE   (Georgia)

Author keywords

Backward semimartingale equation; Contingent claim pricing; Martingale measures; Stochastic control

Indexed keywords

EID: 0346044348     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(00)00038-7     Document Type: Article

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