A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market

M. Mania

Stochastic Processes and their Applications, 2000, vol. 90, issue 1, 19-42

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 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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