Equivalent martingale measures for bridge processes

DOI10.1080/07362999108809249MaRDI QIDQ3984215zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, P. Ekkehard Kopp

Publication date 27 June 1992

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999108809249

zbMATH Keywords

arbitrage pricing modelBrownian bridgeequivalent measurePoisson bridge

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic analysis (60H99) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

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• Option pricing and hedge portfolios for poisson progresses
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Cited in

(5)

• Martingale densities for general asset prices
• A characterization of k-parameter quasimartingales
• GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS
• scientific article; zbMATH DE number 1210093 (Why is no real title available?)
• On the existence and characterization of arbitrage–free measure in contingent claim valuation

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