Filtration reduction and incomplete markets

DOI10.3934/FMF.2024001MaRDI QIDQ6549690zbMATH OpenFDO

Authors Karen Grigorian, Robert A. Jarrow

Publication date 4 June 2024

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

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)

Recommendations

• A benchmark approach to filtering in finance
• Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation
• Risk measure pricing and hedging in incomplete markets
• Local risk-minimization under the benchmark approach
• scientific article; zbMATH DE number 17495

Cites work

• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• Continuous-time asset pricing theory. A martingale-based approach
• Mathematics of financial markets.
• Option pricing when underlying stock returns are discontinuous
• Stochastic finance. An introduction in discrete time

This page was built for publication: Filtration reduction and incomplete markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549690)