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  • Search: subject:"Local martingale measure"
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Year of publication
Subject
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CAPM 2 Filtration shrinkage 2 Local martingale 2 Local martingale measure 2 Martingal 2 Martingale 2 Optional projection 2 Arbitrage Pricing 1 Arbitrage pricing 1 Efficient market hypothesis 1 Effizienzmarkthypothese 1 Financial market 1 Finanzmarkt 1 Market efficiency 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Theorie 1 Theory 1 asymptotic arbitrage 1 large financial markets 1 local martingale measure 1 semimartingale 1
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Online availability
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Free 3
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 3
Author
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Biagini, Francesca 2 Mazzon, Andrea 2 Perkkiö, Ari-Pekka 2 Dare, Wale 1
Published in...
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Finance and Stochastics 1 Finance and stochastics 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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Optional projection under equivalent local martingale measures
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and Stochastics 27 (2023) 2, pp. 435-465
We study optional projections of G-adapted strict local martingales on a smaller filtration Funder changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic...
Persistent link: https://www.econbiz.de/10015327406
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Cover Image
Optional projection under equivalent local martingale measures
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and stochastics 27 (2023) 2, pp. 435-465
Persistent link: https://www.econbiz.de/10014253651
Saved in:
Cover Image
Testing efficiency in small and large financial markets
Dare, Wale - 2017
Persistent link: https://www.econbiz.de/10011799698
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