A Martingale Representation Result and an Application to Incomplete Financial Markets
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Publication:4345933
DOI10.1111/J.1467-9965.1992.TB00031.XzbMATH Open0900.90044OpenAlexW2023290815MaRDI QIDQ4345933FDOQ4345933
Authors: S. D. Jacka 
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00031.x
Recommendations
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Cited In (35)
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- Characterizing attainable claims: a new proof
- On characterizing the set of martingale measures in discrete time
- Optimal consumption and arbitrage in incomplete, finite state security markets
- Density of the set of probability measures with the martingale representation property
- Projective system approach to the martingale characterization of the absence of arbitrage
- Game contingent claims in complete and incomplete markets
- Supermartingales as Radon-Nikodym densities and related measure extensions
- Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
- Entropy maximization in finance
- A general version of the fundamental theorem of asset pricing
- Hedging portfolio for a market model of degenerate diffusions
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
- Hedging under arbitrage
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- On complete securities markets and the martingale property of securities prices
- On the optional and orthogonal decompositions of supermartingales and applications
- Martingale representation processes and applications in the market viability under information flow expansion
- Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
- Title not available (Why is that?)
- A characterization of the set of local martingale measures
- Pricing and hedging of american contingent claims in incomplete markets
- On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
- On Z-mean reflected BSDEs
- Optimal claims with fixed payoff structure
- A note on the no arbitrage condition for international financial markets
- Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
- Valeurs prises par les martingales locales positives continues a un instant donné. (Values taken by continuous, positive local martingales at a given instant)
- The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
- Title not available (Why is that?)
- On the density of properly maximal claims in financial markets with transaction costs
- Smallest \(g\)-supersolution with constraint
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