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ArticleMartingale densities for general asset prices

Walter Schachermayer B1992

Article1992

Martingale densities for general asset prices

Walter Schachermayer B

72 citations·0/0 files stored·Journal of Mathematical Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

2005Stochastic Integration and Differential Equations 1981Martingales and stochastic integrals in the theory of continuous trading 1979Calcul Stochastique et Problèmes de Martingales 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 1990Hedging of contingent claims under incomplete information 2014Stochastic Integration and Differential Equations : A New Approach 1981Arbitrage and equilibrium in economies with infinitely many commodities 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

Cited by

2006No Arbitrage and the Growth Optimal Portfolio 1993DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS 1 2014On arbitrages arising with honest times 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS 2009Risk Minimizing Option Pricing in a Semi-Markov Modulated Market 2011

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1995Follmer-Schweizer Decomposition and Mean-Variance Hedging for General Claimsarticle · 8 shared references 2002Utility-Based Derivative Pricing in Incomplete Marketschapter · 8 shared references 1994Martingales, Arbitrage, and Portfolio Choicechapter · 8 shared references 1992Mean-Variance Hedging for General Claimsarticle · 7 shared references 1996Actuarial bridges to dynamic hedging and option pricingarticle · 6 shared references 1994Approximating Random Variables by Stochastic Integralsarticle · 6 shared references

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Year1992

Typearticle

Published1992-01-01

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations72

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4068(92)90014-x

openalex_workW2054515856

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