Diffusion-Based Models for Financial Markets Without Martingale Measures
From MaRDI portal
Publication:2841948
DOI10.1007/978-1-4471-4926-2_4zbMath1306.91125arXiv1209.4449MaRDI QIDQ2841948
Wolfgang J. Runggaldier, Claudio Fontana
Publication date: 30 July 2013
Published in: EAA Series (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.4449
hedging; arbitrage; market completeness; numéraire portfolio; martingale deflator; market price of risk; contingent claim valuation; benchmark approach; growth-optimal portfolio; utility indifference valuation
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
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