The Dalang-Morton-Willinger theorem under delayed and restricted information

zbMATH Open1118.60033MaRDI QIDQ5294264FDOQ5294264

Authors: Yuri Kabanov, Ch. Stricker 

Publication date: 24 July 2007

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zbMATH Keywords

martingale measureoptional projectionno-arbitrage criteria

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Cited In (13)

• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Short communication: A note on utility indifference pricing with delayed information
• Robust utility maximization in discrete-time markets with friction
• Large Platonic markets with delays
• The Dalang-Morton-Willinger theorem under cone constraints.
• A convex duality approach for pricing contingent claims under partial information and short selling constraints
• Arbitrage and duality in nondominated discrete-time models
• Insurance-finance arbitrage
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• The Jarrow and Turnbull setting revisited
• Market delay and \(G\)-expectations
• Optional projection under equivalent local martingale measures
• A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting

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