M6—On Minimal Market Models and Minimal Martingale Measures

DOI10.1007/978-3-642-03479-4_3zbMath1229.91376OpenAlexW2117929493MaRDI QIDQ3000875

Hardy Hulley, Martin Schweizer

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_3

zbMATH Keywords

no arbitrageno free lunch with vanishing riskstructure conditionno unbounded profit with bounded risknumeraire portfoliominimal market modelgrowth-optimal portfoliosquared Bessel process of dimension 4

Mathematics Subject Classification ID

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