Weak time-derivatives and no-arbitrage pricing

DOI10.1007/s00780-018-0371-9zbMath1416.91380OpenAlexW2535806874WikidataQ129324335 ScholiaQ129324335MaRDI QIDQ1788828

Massimo Marinacci, Federico Severino

Publication date: 8 October 2018

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

Full work available at URL: https://econpapers.repec.org/RePEc:igi:igierp:581

zbMATH Keywords

stochastic interest ratesno-arbitrage pricingmartingale componentspecial semimartingalesweak time-derivative

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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