Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation

DOI10.1007/978-3-642-03479-4_6MaRDI QIDQ3000879zbMATH OpenOpenAlexFDO

Authors Giorgia Galesso, Wolfgang J. Runggaldier

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_6

zbMATH Keywords

superreplicationbenchmark approachincomplete observationpricing theoryno equivalent martingale measure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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Cited in

(10)

• Arbitrage in continuous complete markets
• An approximation pricing algorithm in an incomplete market: a differential geometric approach
• Filtration reduction and incomplete markets
• Arbitrage and control problems in finance. A presentation
• Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing
• scientific article; zbMATH DE number 5287151 (Why is no real title available?)
• Diffusion-based models for financial markets without martingale measures
• An alternative axiomatic characterisation of pricing operators
• Dynamic asset pricing theory with uncertain time-horizon
• scientific article; zbMATH DE number 2133123 (Why is no real title available?)

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