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http://hdl.handle.net/20.500.12188/20107| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Tojtovska, Biljana | en_US |
| dc.date.accessioned | 2022-07-01T09:46:50Z | - |
| dc.date.available | 2022-07-01T09:46:50Z | - |
| dc.date.issued | 2011 | - |
| dc.identifier.uri | http://hdl.handle.net/20.500.12188/20107 | - |
| dc.description.abstract | We are interested in the problem of finding an optimal strategy for a non-attainable contingent claim in an incomplete market consisting of two traded assets. We discuss and compare the Kunita-Watanabe and Fo¨llmer-Schweizer martingale decomposition and use them for finding the risk-minimizing trading strategy. The theory of stable spaces and minimal martingale measure is used and the differences in the models are discussed. | en_US |
| dc.publisher | Institute of Informatics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University in Skopje, Macedonia | en_US |
| dc.subject | Incomplete markets, Martingale decompositions, Kunita-Watanabe and Fo¨llmer-Schweizer decomposition | en_US |
| dc.title | Martingale Decompositions and incomplete Markets | en_US |
| dc.type | Proceeding article | en_US |
| dc.relation.conference | CIIT 2011 | en_US |
| item.grantfulltext | open | - |
| item.fulltext | With Fulltext | - |
| crisitem.author.dept | Faculty of Computer Science and Engineering | - |
| Appears in Collections: | Faculty of Computer Science and Engineering: Conference papers | |
Files in This Item:
| File | Опис | Size | Format | |
|---|---|---|---|---|
| 8CiiT-23.pdf | 127.47 kB | Adobe PDF | View/Open |
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