Information, no-arbitrage and completeness for asset price models with a change point (Q740193)
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| English | Information, no-arbitrage and completeness for asset price models with a change point |
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Information, no-arbitrage and completeness for asset price models with a change point (English)
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2 September 2014
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continuous asset price models
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martingale representation
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enlargement of filtration
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random time
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change point
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Brownian motion
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regime switching
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arbitrage of the first kind
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0.7763235569000244
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0.765475332736969
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0.748410165309906
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0.7360183596611023
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0.7360183596611023
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