R. V. Ivanov, A. N. Shiryaev, “On the duality principle of hedging in diffusion models”, Teor. Veroyatnost. i Primenen., 2011, Volume 56, Issue 3,Pages <nobr>417

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Teor. Veroyatnost. i Primenen., 2011 Volume 56, Issue 3, Pages 417–448 (Mi tvp4401)

This article is cited in 1 paper

On the duality principle of hedging in diffusion models

R. V. Ivanov^a, A. N. Shiryaev^b

^a Institute of Control Sciences, Russian Academy of Sciences
^b Steklov Mathematical Institute, Russian Academy of Sciences

Received: 27.08.2010

DOI: 10.4213/tvp4401

English version: Theory of Probability and its Applications, 2011, 56:3, 376–402

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