Arbitrage possibilities in Bessel processes and their relations to local martingales
type: Item
instance of: scholarly article
title: Arbitrage possibilities in Bessel processes and their relations to local martingales
zbMATH Open document ID: 0830.90008
DOI: 10.1007/BF01192466
publication date: 1996-01-30T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 46N10
Mathematics Subject Classification ID: 47N10
zbMATH DE Number: 784422
zbMATH Keywords: trading strategies
zbMATH Keywords: three-dimensional Bessel process
zbMATH Keywords: arbitrary in foreign exchange rates
author: Freddy Delbaen
author: Walter Schachermayer
MaRDI profile type: Publication
cites work: Q4144529
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cites work: A general version of the fundamental theorem of asset pricing
cites work: The exit measure of a supermartingale
cites work: Calcul stochastique et problèmes de martingales
cites work: Transformation des martingales locales par changement absolument continu de probabilities
cites work: Q3997782
cites work: A Counterexample to Several Problems In the Theory of Asset Pricing
cites work: On some exponential functionals of Brownian motion
full work available at URL: https://doi.org/10.1007/bf01192466
OpenAlex ID: W2092120257
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 784422