ATTAINABLE CLAIMS IN A MARKOV MARKET
It is shown how, even when the market is incomplete, certain contingent claims are attainable: that is, they can be represented as stochastic integrals with respect to the process which describes the evolution of the asset prices. Copyright 1995 Blackwell Publishers.
Year of publication: |
1995
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Authors: | Bensoussan, Alain ; Elliott, Robert J. |
Published in: |
Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 5.1995, 2, p. 121-131
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Publisher: |
Wiley Blackwell |
Saved in:
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