A Discrete Time Equivalent Martingale Measure

DOI10.1111/1467-9965.00048zbMATH Open0910.60033OpenAlexW2059873781MaRDI QIDQ4213036FDOQ4213036

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

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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)

Cited In (23)

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

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