Information, no-arbitrage and completeness for asset price models with a change point
Year of publication: |
2014
|
---|---|
Authors: | Fontana, Claudio ; Grbac, Zorana ; Jeanblanc, Monique ; Li, Qinghua |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 9, p. 3009-3030
|
Publisher: |
Elsevier |
Subject: | Enlargement of filtration | Martingale representation | Random time | Change point | Regime switching | Arbitrage of the first kind | Free lunch with vanishing risk |
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