A Counterexample to Several Problems In the Theory of Asset Pricing
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Publication:4372011
DOI10.1111/j.1467-9965.1993.tb00089.xzbMath0884.90050OpenAlexW4212905991WikidataQ124978261 ScholiaQ124978261MaRDI QIDQ4372011
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00089.x
equivalent martingale measureFöllmer-Schweizer decompositioncontinuous bounded stochastic processGirasov transformation
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Related Items (9)
THE MINIMAL κ-ENTROPY MARTINGALE MEASURE ⋮ A general version of the fundamental theorem of asset pricing ⋮ Arbitrage possibilities in Bessel processes and their relations to local martingales ⋮ Martingale measures in the market with restricted information ⋮ Actuarial bridges to dynamic hedging and option pricing ⋮ Financial markets with a large trader ⋮ A SHOT NOISE MODEL FOR FINANCIAL ASSETS ⋮ Arbitrage and control problems in finance. A presentation ⋮ Special issue: Arbitrage and control problems in finance
Cites Work
- Multiperiod security markets with differential information
- Martingales and arbitrage in multiperiod securities markets
- Arbitrage and equilibrium in economies with infinitely many commodities
- Martingales and stochastic integrals in the theory of continuous trading
- Martingale densities for general asset prices
- Martingale laws, densities and decomposition of Föllmer-Schweizer
- Hedging of contingent claims and maximum price
- On the fundamental theorem of asset pricing with an infinite state space
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
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