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

option pricingstate price densityasset pricingreturn distributionsGirsanov principle

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

(23)

• Option pricing with discrete time jump processes
• GARCH option pricing: A semiparametric approach
• On Bayesian value at risk: from linear to non-linear portfolios
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• \(q\)-optimal martingale measures for discrete time models
• A hidden Markov regime-switching model for option valuation
• Asymptotic option price with bounded expected loss
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• 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
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Asymptotic distribution of the EPMS estimator for financial derivatives pricing
• Option pricing under regime-switching models: novel approaches removing path-dependence
• Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
• Option pricing in regime-switching frameworks with the extended Girsanov principle
• Equal risk pricing of derivatives with deep hedging
• Non-Gaussian GARCH option pricing models and their diffusion limits
• The mean correcting martingale measures for exponential additive processes
• Quadratic hedging schemes for non-Gaussian GARCH models
• Dynamic programming and hedging strategies in discrete time
• Option pricing with realistic ARCH processes
• Option pricing under stochastic volatility models with latent volatility

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