On complete securities markets and the martingale property of securities prices

DOI10.1016/0165-1765(89)90108-0MaRDI QIDQ1676595zbMATH OpenOpenAlexFDO

Authors Sigrid M. Müller

Publication date 9 November 2017

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(89)90108-0

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Recommendations

• Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
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• A Characterization of Complete Security Markets On A Brownian Filtration¹
• Completeness of a general semimartingale market under constrained trading
• Complete markets with discontinuous security price

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A stochastic calculus model of continuous trading: Complete markets
• Arbitrage pricing of contingent claims
• Calcul stochastique et problèmes de martingales
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of options and corporate liabilities
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(11)

• Existence of equivalent martingale measures in finite dimensional securities markets
• Securities market theory: possession, repo and rehypothecation
• A Characterization of Complete Security Markets On A Brownian Filtration¹
• Enlargement of filtration and predictable representation property for semi-martingales
• Dynamic versus one-period completeness in event-tree security markets
• Completeness of securities market models -- an operator point of view
• ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION
• The analysis of finite security markets using martingales
• Description martingale measures for a single evolution of risky assets
• Actuarial bridges to dynamic hedging and option pricing
• APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

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