Pricing measures, forward measures and semigroups

DOI10.1080/14697680802392504zbMath1188.91227OpenAlexW2117727189MaRDI QIDQ3404098

Jinke Zhou, Xiaolu Wang

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802392504

zbMATH Keywords

Markov processesarbitrage pricingderivatives pricingjump-diffusion processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Information structure and equilibrium asset prices
• Information structures and viable price systems
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Continuous-time term structure models: Forward measure approach
• A note on the forward measure
• Affine processes and applications in finance
• Time-inhomogeneous affine processes
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Changes of numéraire, changes of probability measure and option pricing
• A general characterization of one factor affine term structure models

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