A Martingale Representation Result and an Application to Incomplete Financial Markets
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Publication:4345933
DOI10.1111/j.1467-9965.1992.tb00031.xzbMath0900.90044OpenAlexW2023290815MaRDI QIDQ4345933
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00031.x
martingalelocal martingaleincomplete financial marketmartingale representationcontingent claimfair priceattainable claim
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Cites Work
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- Calcul stochastique et problèmes de martingales
- On the pricing of American options
- 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
- Optimization Problems in the Theory of Continuous Trading
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