Optional projection under equivalent local martingale measures
Year of publication: |
2023
|
---|---|
Authors: | Biagini, Francesca ; Mazzon, Andrea ; Perkkiö, Ari-Pekka |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 2, p. 435-465
|
Subject: | Filtration shrinkage | Local martingale | Local martingale measure | Optional projection | Martingal | Martingale | Optionspreistheorie | Option pricing theory | CAPM | Optionsgeschäft | Option trading |
-
Robust hedging with proportional transaction costs
Dolinsky, Yan, (2014)
-
No-arbitrage and hedging with liquid American options
Bayraktar, Erhan, (2019)
-
Rainbow trend options : valuation and applications
Wang, Jr-Yan, (2017)
- More ...
-
Estimating extreme cancellation rates in life insurance
Biagini, Francesca, (2021)
-
Estimating extreme cancellation rates in life insurance
Biagini, Francesca, (2021)
-
Estimating Extreme Cancellation Rates in Life Insurance
Biagini, Francesca, (2020)
- More ...