DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1

DOI10.1111/j.1467-9965.1993.tb00046.xzbMath0884.90021OpenAlexW2029920538MaRDI QIDQ4372016

Robert J. Elliott, David B. Colwell

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00046.x

zbMATH Keywords

equivalent martingale measuremartingale representationminimal martingale measureMarkov diffusion with jumpslocalrisk-minimizing trading strategynon-attainable contingent claim

Mathematics Subject Classification ID

Economic growth models (91B62) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Option hedging for semimartingales
• Martingale densities for general asset prices
• Option pricing when underlying stock returns are discontinuous
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