A convenient way to characterize equivalent martingale measures in incomplete markets
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Publication:1567084
DOI10.1023/A:1009987124647zbMath0964.60052OpenAlexW1904621318MaRDI QIDQ1567084
Bas J. M. Werker, Bertrand Melenberg
Publication date: 8 July 2001
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009987124647
stochastic volatilityidiosyncratic riskcontinuous time financederivatives pricing equivalent martingale measure
Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)
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