Gaussian moving averages, semimartingales and option pricing.

DOI10.1016/j.spa.2003.08.002zbMath1075.60025OpenAlexW2006972204MaRDI QIDQ2574617

Patrick Cheridito

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2003.08.002

zbMATH Keywords

Gaussian processesequivalent martingale measuresemimartingalesmoving average representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20) Continuity and singularity of induced measures (60G30)

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Cites Work

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• Über die Struktur stationärer zufälliger Funktionen
• Semimartingales gaussiennes — application au probleme de l'innovation
• Gaussian quasimartingales
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• Arbitrage with Fractional Brownian Motion
• On Helixes in Hilbert Space. I
• Fractional Brownian Motions, Fractional Noises and Applications
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