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Search: subject:"simultaneous Doob-Meyer decompositions"
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incomplete markets
Black-Scholes formula
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Contingent claims
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arbitrage
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constrained markets
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different interest rates
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equivalent martingale measures
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free boundary
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hedging
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optimal stopping
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(*), S. G. Kou
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Karatzas, Ioannis
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Hedging American contingent claims with constrained portfolios
Karatzas, Ioannis
;
(*), S. G. Kou
- In:
Finance and Stochastics
2
(
1998
)
3
,
pp. 215-258
martingale theory (including
simultaneous
Doob-Meyer
decompositions
), optimal stopping and stochastic control problems …
Persistent link: https://www.econbiz.de/10005390719
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