LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS

DOI10.1111/j.1467-9965.2010.00442.xzbMath1229.91131MaRDI QIDQ3008487

Giulia Di Nunno, Inga Baadshaug Eide

Publication date: 16 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10503

zbMATH Keywords

asset pricing; fundamental theorem; extension theorem; equivalent martingale measures

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

Related Items

Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\)

Cites Work

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