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Long Term Risk: A Martingale Approach · Study

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PreprintLong Term Risk: A Martingale Approach

Likuan Qin2014

OA

Preprintgreen2014

Long Term Risk: A Martingale Approach

Likuan Qin · Vadim Linetsky

16 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

2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 2003Limit Theorems for Stochastic Processes 1978Prices of State-Contingent Claims Implicit in Option Prices 1991Implications of Security Market Data for Models of Dynamic Economies 1979Calcul Stochastique et Problèmes de Martingales 1995Changes of numéraire, changes of probability measure and option pricing 1989An Exact Bond Option Formula 2011The Recovery Theorem

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Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2523110

openalex_workW2161966625

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