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ArticleMartingale representation and hedging policies

David B. Colwell1991

OA

Articlebronze1991

Martingale representation and hedging policies

David B. Colwell · Robert James Elliott · Peter Ekkehard Kopp

23 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 2007Brownian Motion and Stochastic Calculus 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1989Brownian Motion and Stochastic Calculus.1986Stochastic Calculus and Applications.1991A generalized clark representation formula, with application to optimal portfolios 1984Malliavin's calculus and stochastic integral representations of functional of diffusion processes†

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Year1991

Typearticle

Published1991-08-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4149(91)90098-w

openalex_workW1998579713

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