Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
DOI10.1080/1350486X.2017.1327324zbMath1398.91574arXiv1506.08127WikidataQ115550016 ScholiaQ115550016MaRDI QIDQ4610206
David Criens, Zorana Grbac, Kathrin Glau
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.08127
uniform integrabilitymartingale propertyexponential semimartingaleLibor modelsemimartingale asset price model
Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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