A convenient way to characterize equivalent martingale measures in incomplete markets

DOI10.1023/A:1009987124647zbMath0964.60052OpenAlexW1904621318MaRDI QIDQ1567084

Bas J. M. Werker, Bertrand Melenberg

Publication date: 8 July 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009987124647

zbMATH Keywords

stochastic volatilityidiosyncratic riskcontinuous time financederivatives pricing equivalent martingale measure

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

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