On complete securities markets and the martingale property of securities prices

DOI10.1016/0165-1765(89)90108-0zbMath1375.91227OpenAlexW2037579095MaRDI QIDQ1676595

Sigrid M. Müller

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90108-0

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (5)

Actuarial bridges to dynamic hedging and option pricing ⋮ A Characterization of Complete Security Markets On A Brownian Filtration¹ ⋮ ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION ⋮ Enlargement of filtration and predictable representation property for semi-martingales ⋮ APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Calcul stochastique et problèmes de martingales
• Arbitrage pricing of contingent claims
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]

This page was built for publication: On complete securities markets and the martingale property of securities prices