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Programmation dynamique et évaluation des actifs contingents en marché incomplet. (Dynamic programming and pricing of contingent claims in an incomplete market). (French) Zbl 0736.90009

Summary: This note studies the problem of determining the price of a contingent claim from the price dynamics of certain securities in an incomplete market. It is proved by the use of stochastic control methods that, for every contingent claim, the maximum price (selling price) is the smallest price which allows the seller to hedge completely by a controlled portfolio of the basic securities.

MSC:

91B24 Microeconomic theory (price theory and economic markets)
49L20 Dynamic programming in optimal control and differential games
93E20 Optimal stochastic control
91B28 Finance etc. (MSC2000)
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