Search Results - subject:"Conditional Full Support"

Dolinsky, Yan; Soner, Halil Mete - 2016

the two super-replication problems have the same value provided that P satisfies the conditional full support property …

Persistent link: https://www.econbiz.de/10011625669

Convex duality with transaction costs

Dolinsky, Yan; Soner, Halil Mete - In: Mathematics of operations research 42 (2017) 2, pp. 448-471

Persistent link: https://www.econbiz.de/10011684447

Absence of arbitrage in a general framework

Sayit, Hasanjan - In: Annals of Finance 9 (2013) 4, pp. 611-624

Cheridito (Finance Stoch 7:533–553, <CitationRef CitationID="CR5">2003</CitationRef>) studies a financial market that consists of a money market account and a risky asset driven by a fractional Brownian motion. It is shown that arbitrage possibilities in such markets can be excluded by suitably restricting the class of allowable trading...</citationref>

Persistent link: https://www.econbiz.de/10010989105

Absence of arbitrage in a general framework

Sayit, Hasanjan - In: Annals of finance 9 (2013) 4, pp. 611-624

Persistent link: https://www.econbiz.de/10010196595

BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT

PAKKANEN, MIKKO S. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 579-586

semistationary process has conditional full support, a distributional property that has two important implications. It ensures …

Persistent link: https://www.econbiz.de/10009194525

Brownian semistationary processes and conditional full support

Pakkanen, Mikko S. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 579-586

Persistent link: https://www.econbiz.de/10009269353