A Discrete Time Equivalent Martingale Measure
From MaRDI portal
Publication:4213036
DOI10.1111/1467-9965.00048zbMath0910.60033OpenAlexW2059873781MaRDI QIDQ4213036
Dilip B. Madan, Robert J. Elliott
Publication date: 6 April 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00048
Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (22)
Asymptotic distribution of the EPMS estimator for financial derivatives pricing ⋮ Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ The mean correcting martingale measures for exponential additive processes ⋮ Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ On Bayesian value at risk: from linear to non-linear portfolios ⋮ A hidden Markov regime-switching model for option valuation ⋮ GARCH option pricing: A semiparametric approach ⋮ Option pricing with discrete time jump processes ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ Asymptotic option price with bounded expected loss ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ Dynamic Programming and Hedging Strategies in Discrete Time ⋮ Model risk of the implied GARCH-normal model ⋮ Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing ⋮ Equal risk pricing of derivatives with deep hedging ⋮ Option Pricing Under Autoregressive Random Variance Models ⋮ Option pricing for GARCH-type models with generalized hyperbolic innovations ⋮ Option pricing with realistic ARCH processes
This page was built for publication: A Discrete Time Equivalent Martingale Measure
