A reading guide for last passage times with financial applications in view
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Publication:354200
DOI10.1007/s00780-013-0207-6zbMath1274.60123arXiv0808.2892OpenAlexW2095450577MaRDI QIDQ354200
Eckhard Platen, Ashkan Nikeghbali
Publication date: 18 July 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0808.2892
Bessel processmartingalessupermartingaleslocal martingalesrunning maximumclass \(\sum\)ends of optional setsLast passage timessymmetric Lévy processtrue submartingales
Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Sample path properties (60G17) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
On the characterisation of honest times that avoid all stopping times, On arbitrages arising with honest times, Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
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