Optimal measure preserving derivatives revisited

DOI10.1111/mafi.12377zbMath1522.91261arXiv2201.09108OpenAlexW4321459681MaRDI QIDQ6054457

Brendan K. Beare

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.09108

zbMATH Keywords

pricing kerneladequate measurestochastic arbitrage

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Measure preserving derivatives and the pricing kernel puzzle
• An introduction to copulas.
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• New Formulations for Optimization under Stochastic Dominance Constraints
• Asymptotic Statistics
• The Probability Integral Transform and Related Results
• Conditioning as disintegration
• Optimization with Stochastic Dominance Constraints
• Risk Arbitrage Opportunities for Stock Index Options
• Extreme Points and Majorization: Economic Applications
• An Integral Inequality

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