Equivalent martingale measures for bridge processes
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Publication:3984215
DOI10.1080/07362999108809249zbMath0744.60048OpenAlexW2025847965MaRDI QIDQ3984215
P. Ekkehard Kopp, Robert J. Elliott
Publication date: 27 June 1992
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362999108809249
Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Stochastic analysis (60H99)
Related Items (5)
On the existence and characterization of arbitrage–free measure in contingent claim valuation ⋮ A characterization of \(k\)-parameter quasimartingales ⋮ GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS ⋮ Martingale densities for general asset prices ⋮ Lévy random bridges and the modelling of financial information
Cites Work
- Arbitrage pricing of contingent claims
- Martingales and arbitrage in multiperiod securities markets
- Semi-martingales et grossissement d'une filtration
- Martingales and stochastic integrals in the theory of continuous trading
- On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
- Option pricing and hedge portfolios for poisson progresses
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