Arbitrage and completeness in financial markets with given N-dimensional distributions
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Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
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Cites work
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1222810 (Why is no real title available?)
- scientific article; zbMATH DE number 2053281 (Why is no real title available?)
- scientific article; zbMATH DE number 1494228 (Why is no real title available?)
- scientific article; zbMATH DE number 3049824 (Why is no real title available?)
- Coupling and option price comparisons in a jump-diffusion model
- Explicit formulae for time-space Brownian chaos.
- Making Markov martingales meet marginals: With explicit constructions
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- Martingales and stochastic integrals in the theory of continuous trading
- Mean-Variance Hedging Under Additional Market Information
- On extremal measures and subspace density
- On the rate of convergence of discrete-time contingent claims.
- On weak Brownian motions of arbitrary order
- Option pricing impact of alternative continuous-time dynamics
- Option pricing when underlying stock returns are discontinuous
- Robust hedging of the lookback option
- Stochastic Volatility for Lévy Processes
- Stochastic finance. An introduction in discrete time
- The Existence of Probability Measures with Given Marginals
- The variance-optimal martingale measure for continuous processes
Cited in
(7)- A Note on Market Completeness with American Put Options
- On the support of extremal martingale measures with given marginals: the countable case
- A note on extremality and completeness in financial markets with infinitely many risky assets
- Call completeness implies completeness in the \(n\)-period model of a financial market
- A continuous non-Brownian motion martingale with Brownian motion marginal distributions
- scientific article; zbMATH DE number 1878079 (Why is no real title available?)
- Optimal investment and price dependence in a semi-static market
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