Equivalent martingale measures and no-arbitrage
From MaRDI portal
Publication:4885236
Recommendations
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- scientific article; zbMATH DE number 796435
- Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
- scientific article; zbMATH DE number 1619454
- A convenient way to characterize equivalent martingale measures in incomplete markets
- Equivalent martingale measures for Lévy processes
Cites work
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 796435 (Why is no real title available?)
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Arbitrage and equilibrium in economies with infinitely many commodities
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Multiperiod security markets with differential information
- On the fundamental theorem of asset pricing with an infinite state space
Cited in
(34)- Characterizing attainable claims: a new proof
- Projective system approach to the martingale characterization of the absence of arbitrage
- The fundamental theorem of asset pricing under default and collateral in finite discrete time
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- A note on the condition of no unbounded profit with bounded risk
- The Black–Scholes equation in the presence of arbitrage
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- A general version of the fundamental theorem of asset pricing
- Local martingales in discrete time
- The Dalang-Morton-Willinger theorem under cone constraints.
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Market viability via absence of arbitrage of the first kind
- On the semimartingale property of discounted asset-price processes
- An elementary proof of the Dalang–Morton–Willinger theorem
- FTAP in finite discrete time with transaction costs by utility maximization
- A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
- Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing
- On the existence of equivalent -measures in finite discrete time
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- Absence of arbitrage in a general framework
- Consistent price systems and face-lifting pricing under transaction costs
- On utility maximization in discrete-time financial market models
- No-arbitrage with multiple-priors in discrete time
- On the existence and characterization of arbitrage–free measure in contingent claim valuation
- scientific article; zbMATH DE number 1619455 (Why is no real title available?)
- No arbitrage without semimartingales
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- scientific article; zbMATH DE number 7606594 (Why is no real title available?)
- scientific article; zbMATH DE number 796435 (Why is no real title available?)
- Arbitrage and control problems in finance. A presentation
- A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Martingale Schrödinger bridges and optimal semistatic portfolios
- Special issue: Arbitrage and control problems in finance
This page was built for publication: Equivalent martingale measures and no-arbitrage
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4885236)
