Equivalent martingale measures for bridge processes
type: Item
instance of: scholarly article
title: Equivalent martingale measures for bridge processes
zbMATH Open document ID: 0744.60048
DOI: 10.1080/07362999108809249
author: Robert J. Elliott
author: P. Ekkehard Kopp
published in: Stochastic Analysis and Applications
publication date: 1992-06-27T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60H99
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 25856
zbMATH Keywords: equivalent measure
zbMATH Keywords: Brownian bridge
zbMATH Keywords: Poisson bridge
zbMATH Keywords: arbitrage pricing model
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/07362999108809249
OpenAlex ID: W2025847965
cites work: On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
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description: scientific article; zbMATH DE number 25856