M6—On Minimal Market Models and Minimal Martingale Measures (Q3000875)
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scientific article; zbMATH DE number 5901433
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| English | M6—On Minimal Market Models and Minimal Martingale Measures |
scientific article; zbMATH DE number 5901433 |
Statements
M6—On Minimal Market Models and Minimal Martingale Measures (English)
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31 May 2011
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no free lunch with vanishing risk
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no arbitrage
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no unbounded profit with bounded risk
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minimal market model
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growth-optimal portfolio
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numeraire portfolio
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structure condition
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squared Bessel process of dimension 4
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0.8732202
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0.8430158
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0.8417227
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0.84116477
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0.83904284
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0.8387702
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0.8386475
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