On the use of semimartingales and stochastic integrals to model continuous trading

DOI10.1016/0304-4068(86)90014-5zbMath0612.90014OpenAlexW1964421733WikidataQ126552010 ScholiaQ126552010MaRDI QIDQ1088571

Gerry L. Suchanek, J. L. Denny

Publication date: 1986

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(86)90014-5

zbMATH Keywords

stabilitymartingalesRobustnessstopping timesstochastic integralcontinuous-time contingent claim valuation modelrandom trading dates

Mathematics Subject Classification ID

Economic growth models (91B62) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Dynamic spanning without probabilities ⋮ On pricing of market-indexed certificates of deposit ⋮ Pathwise stochastic integration and applications to the theory of continuous trading ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ ⋮ Arbitrage Values Generally Depend On A Parametric Rate of Return ⋮ Mechanics of good trade execution in the framework of linear temporary market impact

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Calcul stochastique et problèmes de martingales
• Martingales and arbitrage in multiperiod securities markets
• Riemann-Stieltjes quasi-martingale integration
• Stochastic integration and \(L^ p-\)theory of semimartingales
• Martingales and stochastic integrals in the theory of continuous trading
• Martingales: Recent Developments, Results and Applications
• Option pricing: A simplified approach

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