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When is Time Continuous? · Study

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PreprintWhen is Time Continuous?

Dimitris Bertsimas1998

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Preprintgreen1998

When is Time Continuous?

Dimitris Bertsimas · Leonid Kogan · Andrew W. Lo

18 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1979Option pricing: A simplified approach 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets

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2000When is time continuous?article · 25 shared references 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approacharticle · 16 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 13 shared references 2007Stochastic Dominance Bounds on American Option Prices in Markets with Frictionsarticle · 12 shared references 1991Toward A Convergence Theory For Continuous Stochastic Securities Market Models1article · 12 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 11 shared references

Details

Year1998

Typepreprint

Published1998-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.116688

openalex_workW2103047018

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