PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE

DOI10.1142/S0219024916500060zbMath1395.91402arXiv1304.3824OpenAlexW3121696618MaRDI QIDQ2797876

Gabriel Frahm

Publication date: 1 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.3824

zbMATH Keywords

immersionarbitragevaluationpricingcomplete marketnuméraire portfoliofundamental theorem of asset pricingenlargement of filtrationsefficient marketgrowth-optimal portfoliocomplex marketsensitive market

Mathematics Subject Classification ID

Related Items (4)

CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE” ⋮ ARBITRAGE PRICING THEORY IN ERGODIC MARKETS ⋮ Statistical properties of estimators for the log-optimal portfolio ⋮ THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE

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