Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

9 references·16 citing·28 second hop

FromToDepth

this work references cited by second hop

References

1979Martingales and arbitrage in multiperiod securities markets3,595 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
1994A general version of the fundamental theorem of asset pricing1,447 cited
1990Stochastic Integration and Differential Equations1,195 cited
1987The New Palgrave: A Dictionary of Economics1,081 cited
1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
1992REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED201 cited

Cited by

1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time190 cited
1996Actuarial bridges to dynamic hedging and option pricing189 cited
2000Local martingales, arbitrage, and viability164 cited
1998Complications with stochastic volatility models157 cited
1994Equivalent martingale measures and no-arbitrage130 cited
2000Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models

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

129 cited

2002The Theory of Good-Deal Pricing in Financial Markets123 cited

2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited

2002Option prices under Bayesian learning: implied volatility dynamics and predictive densities96 cited

1995Large Financial Markets: Asymptotic Arbitrage and Contiguity89 cited

2005Utility maximization in incomplete markets for unbounded processes78 cited

1998A Discrete Time Equivalent Martingale Measure77 cited

2014A note on the condition of no unbounded profit with bounded risk75 cited

1999A Compactness Principle for Bounded Sequences of Martingales with Applications68 cited

1994ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES65 cited

2012The fundamental theorem of asset pricing under transaction costs61 cited