scientific article; zbMATH DE number 1943897

MaRDI QIDQ4409937zbMATH OpenFDO

Authors Bent Jesper Christensen, Nicholas M. Kiefer

Publication date 4 February 2004

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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• The equivalent martingale measures for the stochastic volatility model

Cited in

(4)

• Strong consistency of the empirical martingale simulation option price estimator
• No-arbitrage ROM simulation
• L^p simulation for measures
• Continuous time one-dimensional asset-pricing models with analytic price-dividend functions

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