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

Brownian bridgeequivalent measurePoisson bridgearbitrage pricing model

Mathematics Subject Classification ID

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

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Cites work

• Arbitrage pricing of contingent claims
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• Option pricing and hedge portfolios for poisson progresses
• Semi-martingales et grossissement d'une filtration

Cited in

(4)

• GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS
• Martingale densities for general asset prices
• A characterization of k-parameter quasimartingales
• On the existence and characterization of arbitrage–free measure in contingent claim valuation

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