A convenient way to characterize equivalent martingale measures in incomplete markets

DOI10.1023/A:1009987124647zbMATH Open0964.60052OpenAlexW1904621318MaRDI QIDQ1567084FDOQ1567084

Authors: Bertrand Melenberg, Bas J. M. Werker 

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

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zbMATH Keywords

stochastic volatilityidiosyncratic riskcontinuous time financederivatives pricing equivalent martingale measure

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Cited In (5)

• American Option Valuation with Particle Filters
• Equivalent martingale measures and no-arbitrage
• Title not available (Why is that?)
• Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation
• APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

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