A characterization theorem for unique risk neutral probability measures
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Publication:899862
DOI10.1016/0165-1765(86)90143-6zbMATH Open1328.91274OpenAlexW2056109445MaRDI QIDQ899862FDOQ899862
Publication date: 1 January 2016
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(86)90143-6
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Cites Work
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- Martingales and arbitrage in multiperiod securities markets
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- Spanning and completeness in markets with contingent claims
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- On Positive Contractions In L p -Spaces
Cited In (6)
- On volatility smile and an investment strategy with out-of-the-money calls
- Option pricing methods: an overview
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- Spanning, valuation and options
- Lower and upper pricing of financial assets
- Existence and uniqueness of risk-sensitive estimates
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