A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market
AbstractA general model of an optimal equivalent change of measure is considered. Existence and uniqueness conditions of a solution of backward semimartingale equation for the value process are given. This result is applied to determine the maximum price of a contingent claim.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 90 (2000)
Issue (Month): 1 (November)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Kramkov, D.O., 1994. "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets," Discussion Paper Serie B 294, University of Bonn, Germany.
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