Implied savings accounts are unique

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DOI10.1007/PL00013524zbMath0961.60044MaRDI QIDQ5926475

Martin Schweizer, Christophe Stricker, Frank Döberlein

Publication date: 1 March 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

Doob-Meyer decomposition implied savings account multiplicative decomposition semimartingales term structure models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (3)

No arbitrage and multiplicative special semimartingales ⋮ ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing

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