Online Resource
Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Format:
1 Online-Ressource (26 Seiten)
ISSN:
1436-1086
Series Statement:
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 1997,2006,31
Content:
Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional decompositions, both in additive and in multiplicative form, and under constraints corresponding to di_erent classes of equivalent measures. As an application, we extend results of Karatzas and Cvitanic [3] on hedging problems with constrained portfolios.
Language:
English
URN:
urn:nbn:de:kobv:11-10064163
URL:
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