Weighted BMO and discrete time hedging within the Black-Scholes model-Reference-Cited by-同舟云学术

Weighted BMO and discrete time hedging within the Black-Scholes model

Published:2004-10-09 Issue:1 Volume:132 Page:39-73
ISSN:0178-8051
Container-title:Probability Theory and Related Fields
language:en
Short-container-title:Probab. Theory Relat. Fields

Author:

Geiss Stefan

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Link

http://link.springer.com/content/pdf/10.1007/s00440-004-0389-0.pdf

Reference23 articles.

1. Barlow, M.T., Yor, M.: Semi-martingale inequalities via the Garsia-Rodemich-Rumsey Lemma, and applications to local time. J. Funct. Anal. 49 (2), 198?229 (1982)

2. Bassily, N.L., Mogyoródi, J.: On the -spaces with general Young function ø. Ann. Univ. Sci. Budap. Rolando Eötvös, Sect. Math. 27, 205?214 (1984)

3. Bonami, A., Lepingle, D.: Fonction maximale et variation quadratique des martingales en présence d?un poids. In: Séminaire de Probabilités XIII, Univ. de Strasbourg. volume 721 of Lect. Notes Math. Springer, 1977/78, pp. 294?306

4. Burkholder, D.L.: Distribution function inequalities for martingales. Ann. Prob. 1, 19?42 (1973)

5. Dellacherie, C., Meyer, P.-A.: Probabilities and Potential B. Mathematics Studies 72. North-Holland, 1982

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