Complete markets with discontinuous security price

DOI10.1007/s007800050058zbMath0930.91014DBLPjournals/fs/DritschelP99OpenAlexW2064341413WikidataQ57451944 ScholiaQ57451944MaRDI QIDQ1297922

Michael A. Dritschel, Philip E. Protter

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050058

zbMATH Keywords

weak convergenceequivalent martingale measureMalliavin calculusoption pricingstochastic calculusBlack-Scholes modelhedging strategiesarbitragecontingent claimsmarket completenessmartingale limit theoremAzema martingales

Mathematics Subject Classification ID

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