Pricing measures, forward measures and semigroups

DOI10.1080/14697680802392504zbMATH Open1188.91227OpenAlexW2117727189MaRDI QIDQ3404098FDOQ3404098

Authors: Jinke Zhou, Xiaolu Wang 

Publication date: 5 February 2010

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

Full work available at URL: https://doi.org/10.1080/14697680802392504

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zbMATH Keywords

Markov processesarbitrage pricingderivatives pricingjump-diffusion processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Affine processes and applications in finance
• Martingales and stochastic integrals in the theory of continuous trading
• Time-inhomogeneous affine processes
• A general characterization of one factor affine term structure models
• Changes of numéraire, changes of probability measure and option pricing
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Title not available (Why is that?)
• Information structure and equilibrium asset prices
• Information structures and viable price systems
• Continuous-time term structure models: Forward measure approach
• A note on the forward measure

Cited In (2)

• Risk‐neutral pricing techniques and examples
• Pricing functionals and pricing measures

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