Marie Claire Quenez

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where f is the generator and ξ is the terminal condition. Actually, this type of equation appears in numerous problems in finance (as pointed out in Quenez’s doctorate 1993). First, the theory of contingent claim valuation in a complete market studied by Black and Scholes (1973), Merton (1973, 1991), Harrison and Kreps (1979), Harrison and Pliska (1981),(More)
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