Filtration reduction and incomplete markets

DOI10.3934/FMF.2024001zbMATH Open1537.91322MaRDI QIDQ6549690FDOQ6549690

Authors: Karen Grigorian, Robert A. Jarrow 

Publication date: 4 June 2024

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

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zbMATH Keywords

market completenessdiscrete market modelsfiltration reduction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with discrete parameter (60G42) Financial markets (91G15)

Cites Work

• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Stochastic finance. An introduction in discrete time
• Mathematics of financial markets.
• Continuous-time asset pricing theory. A martingale-based approach

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