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Martingale representation and non-attainable contingent claims

  • V Applied Modelling And Optimization
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System Modelling and Optimization

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 180))

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References

  1. H. Föllmer and M. Schweizer, “Hedging of Contingent Claims under Incomplete Information,” in M.H.A. Davis and R.J. Elliott (Eds.) Applied Stochastic Analysis (1991), Gordon and Breach, New York, London.

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  2. H. Föllmer and D. Sondermann, “Hedging of Non-redundant Contingent Claims,” in W. Hildenbrandt and A. Mas-Colell (Eds.) Contributions to Mathematical Economics (1986), 205–223.

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  3. J.M. Harrison and D.M. Kreps, “Martingales and Arbitrage in Multiperiod Securities Markets,” J. Econom. Theory 20 (1979), 381–408.

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  4. M. Schweizer, “Risk-Minimality and Orthogonality of Martingales,” Stochastics 30 (1990), 123–131.

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  5. M. Schweizer, “Option Hedging for Semimartingales,” preprint.

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  6. M. Schweizer, “Some Remarks on Hedging under Incomplete Information,” preprint.

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Author information

Authors and Affiliations

  1. Department of Statistics and Applied Probability, University of Alberta, T6G 2G1, Edmonton, Alberta, Canada

    David B. Colwell & Robert J. Elliott

Authors
  1. David B. Colwell
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  2. Robert J. Elliott
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Editor information

L. D. Davisson A. G. J. MacFarlane H. Kwakernaak J. L. Massey Ya Z. Tsypkin A. J. Viterbi Peter Kall

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© 1992 International Federation for Information Processing

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Colwell, D.B., Elliott, R.J. (1992). Martingale representation and non-attainable contingent claims. In: Davisson, L.D., et al. System Modelling and Optimization. Lecture Notes in Control and Information Sciences, vol 180. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0113351

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  • DOI: https://doi.org/10.1007/BFb0113351

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-55577-3

  • Online ISBN: 978-3-540-47220-9

  • eBook Packages: Springer Book Archive

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