On the existence and characterization of arbitrage–free measure in contingent claim valuation
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Publication:4286483
DOI10.1080/07362999408809337zbMATH Open0806.60050OpenAlexW2031572341MaRDI QIDQ4286483FDOQ4286483
Authors: M. Musiela, Norbert Christopeit 
Publication date: 6 April 1994
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362999408809337
Recommendations
Mathematical economics (91B99) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- The pricing of options and corporate liabilities
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- Martingales and arbitrage in multiperiod securities markets
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- Calcul stochastique et problèmes de martingales
- Martingales and stochastic integrals in the theory of continuous trading
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- Equivalent martingale measures for bridge processes
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Cited In (9)
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Title not available (Why is that?)
- A More General Valuation and Arbitrage Theory for Itô Processes
- The depiction and construction of martingale measures in multinomial model
- Beliefs and arbitrage pricing
- No arbitrage and multiplicative special semimartingales
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Actuarial bridges to dynamic hedging and option pricing
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