Explicit Construction of Stochastic Exponentials with Arbitrary Expectation K$/In$(0,1)

We provide a simple and explicit construction of a family of stochastic exponentials with expectation k$/in$(0,1). Our family of stochastic exponentials can be constructed to be either strictly positive of merely non-negative

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Year of publication:	2008
Authors:	Wong, Bernard
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Erwartungsbildung \| Expectation formation

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Extent:	1 Online-Ressource (12 p)
Series:	UNSW Australian School of Business Research Paper ; No. 2008ACTL15
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 10, 2008 erstellt
Other identifiers:	10.2139/ssrn.1299315 [DOI]
Classification:	C65 - Miscellaneous Mathematical Tools ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014213030