Expensive martingales
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Publication:5484645
DOI10.1080/14697680600668071zbMath1136.91417MaRDI QIDQ5484645
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600668071
91B26: Auctions, bargaining, bidding and selling, and other market models
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Cites Work
- Martingales and stochastic integrals in the theory of continuous trading
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Moment explosions in stochastic volatility models
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- Calibrating volatility surfaces via relative-entropy minimization
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- The Existence of Probability Measures with Given Marginals