Functional equations and martingales (Q2118164)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functional equations and martingales |
scientific article |
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Functional equations and martingales (English)
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22 March 2022
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The authors present how martingales' properties are preserved through functional equations applied on Brownian martingales, namely on martingales relying on Brownian motion. This paper's results may be applied on derivatives pricing, since most of the European (Vanilla) derivatives payoffs are related to the underlying assets' behaviour.
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functional equations
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martingales
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Brownian martingales
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