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ArticleOptional decomposition and Lagrange multipliers

Hans Föllmer1997

Article1997

Optional decomposition and Lagrange multipliers

Hans Föllmer · Yuri Kabanov

149 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1997Processes of normal inverse Gaussian type 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 1998Robustness of the Black and Scholes Formula 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets 1997On the range of options prices

Cited by

2005Risk measure pricing and hedging in incomplete markets 1998Asymptotic arbitrage in large financial markets 2001Optimal consumption choice with intertemporal substitution 2015ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES 2012Market viability via absence of arbitrage of the first kind 2004Pricing derivatives of American and game type in incomplete markets 2014A note on the condition of no unbounded profit with bounded risk 2010Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

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Year1997

Typearticle

Published1997-11-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations149

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050033

openalex_workW1993529344

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