Martingales and arbitrage in multiperiod securities markets

DOI10.1016/0022-0531(79)90043-7zbMath0431.90019OpenAlexW1985018066WikidataQ88649475 ScholiaQ88649475MaRDI QIDQ1138469

Publication date: 1979

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(79)90043-7

zbMATH Keywords

option pricing arbitrage theory martingale measures contingent claim valuation multiperiod securities markets

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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problems in finance. A presentation ⋮ On optimal partial hedging in discrete markets ⋮ Pragmatic insurance option pricing ⋮ On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability ⋮ Stochastic volatility Gaussian Heath-Jarrow-Morton models ⋮ Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets ⋮ Gain-loss pricing under ambiguity of measure ⋮ Real-world jump-diffusion term structure models ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ On the Pricing of American Options in Exponential Lévy Markets ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS ⋮ Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage ⋮ ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA ⋮ OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES ⋮ Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data ⋮ A BENCHMARK APPROACH TO FINANCE ⋮ Equilibria Under Knightian Price Uncertainty ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ A simple approach for pricing equity options with Markov switching state variables ⋮ THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE ⋮ Asset management with endogenous withdrawals under a drawdown constraint ⋮ OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING ⋮ Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money? ⋮ Optimal investment and risk control policies for an insurer in an incomplete market ⋮ Book Review: Stochastic calculus for finance ⋮ Options in and on interest rate futures contracts: results from martingale pricing theory ⋮ Pricing and hedging derivative securities in markets with uncertain volatilities ⋮ Detecting and Repairing Arbitrage in Traded Option Prices ⋮ Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Closed form spread option valuation ⋮ An almost Markovian LIBOR market model calibrated to caps and swaptions ⋮ Market Models with Optimal Arbitrage ⋮ A Discrete-Time Model for Reinvestment Risk in Bond Markets ⋮ Unnamed Item ⋮ Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy ⋮ Option Pricing Under Autoregressive Random Variance Models ⋮ Normalized Exponential Tilting ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH ⋮ The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model ⋮ Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas ⋮ AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS ⋮ MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS ⋮ Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model ⋮ Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching ⋮ Directional entropy and tail uncertainty, with applications to financial hazard ⋮ Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes ⋮ Equivalent martingale measures for bridge processes ⋮ Sato processes and the valuation of structured products ⋮ On the existence and characterization of arbitrage–free measure in contingent claim valuation ⋮ Informational Efficiency under Short Sale Constraints ⋮ Pricing of Unit-linked Life Insurance Policies ⋮ The shadow price of information in continuous time decision problems ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Convergence of optimal expected utility for a sequence of binomial models ⋮ Option pricing models without probability: a rough paths approach ⋮ Now decision theory ⋮ Good deal indices in asset pricing: actuarial and financial implications ⋮ No arbitrage and multiplicative special semimartingales ⋮ Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method ⋮ ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE ⋮ The implied volatility smirk ⋮ Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives ⋮ Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ A pricing formula for delayed claims: appreciating the past to value the future ⋮ Option pricing with illiquidity during a high volatile period ⋮ Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation ⋮ Dynamic bid-ask pricing under Dempster-Shafer uncertainty ⋮ The influence of financial practice in developing mathematical probability. Submitted for a special edition of \textit{Synthese}, ``Enabling mathematical cultures ⋮ THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES ⋮ DESIGN AND VALUATION OF CORPORATE SECURITIES WITH STRATEGIC DEBT SERVICE AND ASYMMETRIC INFORMATION ⋮ STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING ⋮ A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS ⋮ IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY ⋮ A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING ⋮ INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH ⋮ THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS ⋮ ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') ⋮ FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL ⋮ COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ ⋮ Entropy Maximization in Finance ⋮ Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set ⋮ Factors' correlation in the Heath-Jarrow-Morton interest rate model ⋮ ASSET PRICE BUBBLES IN INCOMPLETE MARKETS ⋮ Improving the Design of Financial Products in a Multidimensional Black-Scholes Market ⋮ An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms ⋮ Term structure of credit spreads with learning and anticipation effects ⋮ THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS ⋮ EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL ⋮ THE ENTROPY THEORY OF BOND OPTION PRICING ⋮ Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing ⋮ Arbitrage and viability in securities markets with fixed trading costs ⋮ Special issue: Arbitrage and control problems in finance ⋮ Do option markets correctly price the probabilities of movement of the underlying asset? ⋮ ENVIRONMENTAL INNOVATION, WAR OF ATTRITION AND INVESTMENT GRANTS ⋮ On optimal portfolio choice under stochastic interest rates ⋮ Valuation of contingent-claims characterising particular pension schemes ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model ⋮ Forecasting multifractal volatility ⋮ Least-squares Importance Sampling for Monte Carlo security pricing ⋮ Bankruptcy in long-term investments ⋮ Dynamic asset allocation with mean variance preferences and a solvency constraint ⋮ Optimal stopping, free boundary, and American option in a jump-diffusion model ⋮ Characterizing Attainable Claims: A New Proof ⋮ ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE ⋮ Management of catastrophic risks considering the existence of early warning systems ⋮ Optimal design of equity-linked products with a probabilistic constraint ⋮ Martingale Representation and Admissible Portfolio Process with Regime Switching ⋮ PORTFOLIO CHOICE VIA QUANTILES ⋮ A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks ⋮ Pricing American contingent claims by stochastic linear programming ⋮ A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS ⋮ Pricing measures, forward measures and semigroups ⋮ Arbitrage-free smoothing of the implied volatility surface ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ Partial Hedging in Financial Markets with a Large Agent ⋮ Dynamic hedging of basket options under proportional transaction costs using receding horizon control ⋮ Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility ⋮ No Arbitrage and the Growth Optimal Portfolio ⋮ Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung ⋮ MACROECONOMIC SHOCKS AND THE FOREIGN EXCHANGE RISK PREMIA ⋮ APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES ⋮ THE GARCH OPTION PRICING MODEL ⋮ FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES ⋮ ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS ⋮ PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS ⋮ WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING ⋮ EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹ ⋮ OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL ⋮ GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES ⋮ PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH ⋮ A YIELD‐FACTOR MODEL OF INTEREST RATES ⋮ Term structure of interest rates: Discontinuous case ⋮ Models of information aggregation in financial markets: a review ⋮ Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹ ⋮ A Nonstandard Approach to Option Pricing ⋮ Option Pricing With V. G. Martingale Components¹ ⋮ A Stochastic Extension of the Miller‐Modigliani Framework¹ ⋮ From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹ ⋮ The Relationship Between Risk and Maturity In A Stochastic Setting ⋮ ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS ⋮ REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED ⋮ Option Pricing Under Incompleteness and Stochastic Volatility ⋮ Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹ ⋮ A Martingale Representation Result and an Application to Incomplete Financial Markets ⋮ Optimal Consumption‐Portfolio Policies With Habit Formation¹ ⋮ Pricing Options With Curved Boundaries¹ ⋮ Weak convergence and distributional assumptions for a general class of nonliner arch models ⋮ The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹ ⋮ A Counterexample to Several Problems In the Theory of Asset Pricing ⋮ DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹ ⋮ BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES ⋮ OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS ⋮ MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON ⋮ A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS ⋮ THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD ⋮ An introduction to option pricing and the mathematical theory of risk ⋮ Empirical Performance and Asset Pricing in Hidden Markov Models ⋮ Minimum Rate of Return Guarantees: The Danish Case

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