Optional projection under equivalent local martingale measures
Francesca Biagini, Andrea Mazzon, Ari-Pekka Perkkiö
| 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 |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-023-00503-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014253651