On complete securities markets and the martingale property of securities prices
DOI10.1016/0165-1765(89)90108-0zbMATH Open1375.91227OpenAlexW2037579095MaRDI QIDQ1676595FDOQ1676595
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
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Cites Work
- The pricing of options and corporate liabilities
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Title not available (Why is that?)
- Calcul stochastique et problèmes de martingales
- Martingales and stochastic integrals in the theory of continuous trading
- A stochastic calculus model of continuous trading: Complete markets
- �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales
- Arbitrage pricing of contingent claims
Cited In (11)
- A Characterization of Complete Security Markets On A Brownian Filtration1
- Securities market theory: possession, repo and rehypothecation
- Enlargement of filtration and predictable representation property for semi-martingales
- Dynamic versus one-period completeness in event-tree security markets
- ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION
- Completeness of securities market models -- an operator point of view
- 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
- Existence of equivalent martingale measures in finite dimensional securities markets
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