A Discrete Time Equivalent Martingale Measure

DOI10.1111/1467-9965.00048MaRDI QIDQ4213036zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Dilip B. Madan

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

zbMATH Keywords

asset pricingGirsanov principleoption pricingreturn distributionsstate price density

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(24)

• Asymptotic distribution of the EPMS estimator for financial derivatives pricing
• Option pricing with discrete time jump processes
• Quadratic hedging schemes for non-Gaussian GARCH models
• 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
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• Option pricing under regime-switching models: novel approaches removing path-dependence
• On Bayesian value at risk: from linear to non-linear portfolios
• Asymptotic option price with bounded expected loss
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Option pricing with realistic ARCH processes
• Dynamic programming and hedging strategies in discrete time
• Non-Gaussian GARCH option pricing models and their diffusion limits
• The mean correcting martingale measures for exponential additive processes
• Equal risk pricing of derivatives with deep hedging
• Option pricing under autoregressive random variance models
• Variance swaps valuation under non-affine GARCH models and their diffusion limits
• Model risk of the implied GARCH-normal model
• Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
• Option pricing under stochastic volatility models with latent volatility
• A hidden Markov regime-switching model for option valuation
• Finite mixture models for option pricing: an application to Bitcoin options
• \(q\)-optimal martingale measures for discrete time models
• GARCH option pricing: A semiparametric approach

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