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Teoriya Veroyatnostei i ee Primeneniya, 2012, Volume 57, Issue 4, Pages 657–681 (Mi tvp4473)  
This article is cited in 2 scientific papers (total in 2 papers)

On the upper hedging price of contingent claims

R. V. Khasanov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (338 kB) Citations (2)
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Abstract: The paper analyzes the problem of finding the upper hedging prices of a contingent claim in a semimartingale model of a financial market. The authors also study the relation of the hedging prices introduced under different requirements on arbitrage.
Keywords: semimartingale market model; upper hedging price; contingent claim; duality.
Received: 06.03.2012
English version:
Theory of Probability and its Applications, 2013, Volume 57, Issue 4, Pages 607–618
DOI: https://doi.org/10.1137/S0040585X97986199
Bibliographic databases:
Document Type: Article
MSC: 91G20,60G48
Language: Russian
Citation: R. V. Khasanov, “On the upper hedging price of contingent claims”, Teor. Veroyatnost. i Primenen., 57:4 (2012), 657–681; Theory Probab. Appl., 57:4 (2013), 607–618
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp4473
  • https://www.mathnet.ru/eng/tvp/v57/i4/p657
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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    References:60
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