SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Séminaire de Probabilités XXXV
1 references·2 citing·8 second hop
Séminaire de Probabilités XXXV (2001)Séminaire de Probabilités XXXVOn a Triplet of Exponential Brownian Functionals (2001)On a Triplet of Exponential B…Arbitrage Under Transaction Costs Revisited (2009)Arbitrage Under Transaction C…In discrete time a local martingale is a martingale under an equivalent probability measure (2008)In discrete time a local mart…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON (1994)Local martingales and the fundamental asset pricing theorems in the discrete-time case (1998)On the integral of geometric Brownian motion (2003)Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion (2005)Bougerol’s identity in law and extensions (2012)
this work references cited by second hop

References

  • 2001On a Triplet of Exponential Brownian Functionals29 cited

Cited by

  • 2009Arbitrage Under Transaction Costs Revisited20 cited
  • 2008In discrete time a local martingale is a martingale under an equivalent probability measure17 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work