Martingale densities for general asset prices

From MaRDI portal
Publication:1199742

DOI10.1016/0304-4068(92)90014-XzbMath0762.90014OpenAlexW2054515856MaRDI QIDQ1199742

Martin Schweizer

Publication date: 16 January 1993

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(92)90014-x



Related Items

Drift operator in a viable expansion of information flow, An axiomatic approach to the valuation of cash flows, Dividends in the theory of derivative securities pricing, Actuarial bridges to dynamic hedging and option pricing, Insiders and Their Free Lunches: The Role of Short Positions, Pricing and hedging Asian-style options on energy, ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE, SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS, Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model, On the minimal martingale measure and the möllmer-schweizer decomposition, Arbitrage in skew Brownian motion models, Option Pricing Under Incompleteness and Stochastic Volatility, On arbitrages arising with honest times, A General Benchmark Model for Stochastic Jump Sizes, Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices, The numéraire portfolio in semimartingale financial models, A Counterexample to Several Problems In the Theory of Asset Pricing, DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1, MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON, Volatility and arbitrage, HEDGING UNDER ARBITRAGE, Yan theorem in \(L^{\infty}\) with applications to asset pricing, Enlargement of filtration and predictable representation property for semi-martingales, Diffusion-Based Models for Financial Markets Without Martingale Measures, Semilattices, canonical embeddings and representing measures, WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS, No Arbitrage and the Growth Optimal Portfolio



Cites Work