Title of article :
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market
Author/Authors :
Mania، نويسنده , , M.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
A 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.
Keywords :
Backward semimartingale equation , stochastic control , Contingent claim pricing , Martingale measures
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
