Arbitrage in skew Brownian motion models (Q2427806): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2011.10.004
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+W1974450548
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+Martingale laws, densities and decomposition of Föllmer-Schweizer
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+Variably skewed Brownian motion
@@ Property / cites work: Variably skewed Brownian motion / rank @@
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+A general version of the fundamental theorem of asset pricing
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+The existence of absolutely continuous local martingale measures
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+A note on some new perpetuities
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+SELF EXCITING THRESHOLD INTEREST RATES MODELS
@@ Property / cites work: SELF EXCITING THRESHOLD INTEREST RATES MODELS / rank @@
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+SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS
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+On skew Brownian motion
@@ Property / cites work: On skew Brownian motion / rank @@
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Q5332526
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+Q3344924
@@ Property / cites work: Q3344924 / rank @@
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+On the constructions of the skew Brownian motion
@@ Property / cites work: On the constructions of the skew Brownian motion / rank @@
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+“Skew-Brownian Motion” and Derived Processes
@@ Property / cites work: “Skew-Brownian Motion” and Derived Processes / rank @@
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+Diffusion Processes with Generalized Drift Coefficients
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+Stochastic Differential Equations with Generalized Drift Vector
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+Q4663402
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+Q5638112
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+Q3802329
@@ Property / cites work: Q3802329 / rank @@
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+Martingale densities for general asset prices
@@ Property / cites work: Martingale densities for general asset prices / rank @@
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+Publication:2427806