On the martingale property of stochastic exponentials (Q4667990): Difference between revisions

@@ Property / author @@
+Christopher C. Heyde
@@ Property / author: Christopher C. Heyde / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2081035098
@@ Property / OpenAlex ID: W2081035098 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility skews and extensions of the Libor market model
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+A note on option pricing for the constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+No arbitrage condition for positive diffusion price processes
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Complete Models with Stochastic Volatility
@@ Property / cites work: Complete Models with Stochastic Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Class 𝐷 supermartingales
@@ Property / cites work: Class 𝐷 supermartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Conditions for absolute continuity between a certain pair of probability measures
+Normal rank
@@ Property / cites work @@
+Q3908216
@@ Property / cites work: Q3908216 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+A necessary and sufficient condition for absence of arbitrage with tame portfolios
+Normal rank
@@ Property / cites work @@
+Q4139359
@@ Property / cites work: Q4139359 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5585820
@@ Property / cites work: Q5585820 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on the existence of unique equivalent martingale measures in a Markovian setting
+Normal rank
@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank