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  • Search: subject:"semimartingale topology"
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Doob-Meyer decomposition 1 hedging 1 incomplete market 1 martingale measure 1 optional decomposition 1 options 1 semimartingale topology 1 stochastic integral 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Kramkov, D.O. 1
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University of Bonn, Germany 1
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Discussion Paper Serie B 1
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RePEc 1
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Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
Kramkov, D.O. - University of Bonn, Germany - 1994
Let M(X) be a family of all equivalent local martingale measures for some locally bounded d-dimensional process X, and V be a positive process. Main result of the paper (Theorem 2.1) states that the process V is a supermartingale whatever Q in M(X), if and only if this process admits the...
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