Concepedia

Weighted norm inequalities and hedging in incomplete markets

Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker

Finance and Stochastics · 1997 · 122 citations · 21 references

DOIFull text

Open access

Concepts

References

21

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

, , +14

A general version of the fundamental theorem of asset pricing

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1994 · 1.5K citations

, , +13

Hedging of contingent claims under incomplete information

H. Foellmer, Martin Schweizer · OpenGrey (Institut de l'Information Scientifique et Technique) · 1990 · 768 citations

, , +9

Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

Nicole El Karoui, Marie-Claire Quenez · SIAM Journal on Control and Optimization · 1995 · 661 citations

, , +17