Optional projection under equivalent local martingale measures
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Publication:2697499
DOI10.1007/s00780-023-00503-3OpenAlexW3012898263MaRDI QIDQ2697499
Andrea Mazzon, Francesca Biagini, Ari-Pekka Perkkiö
Publication date: 12 April 2023
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.09940
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial markets (91G15)
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