Expensive martingales

DOI10.1080/14697680600668071zbMath1136.91417OpenAlexW4256347648MaRDI QIDQ5484645

Hans Buehler

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

zbMATH Keywords

arbitragemarginal distributiontransition kernelforward start options

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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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