ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS
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Publication:5245892
DOI10.1142/S0219024915500077zbMath1337.91101OpenAlexW2160628311MaRDI QIDQ5245892
Marta Leniec, Monique Jeanblanc-Picqué
Publication date: 15 April 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024915500077
incomplete marketpricingminimal martingale measures\(f\)-divergenceequivalent martingale measuresprogressive enlargementinitial enlargement
Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)
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