Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (Q4610206)
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scientific article; zbMATH DE number 6856760
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models |
scientific article; zbMATH DE number 6856760 |
Statements
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (English)
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6 April 2018
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exponential semimartingale
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martingale property
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uniform integrability
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semimartingale asset price model
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Libor model
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