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Consistent Market Extensions Under The Benchmark Approach

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Author Info
Damir Filipović
Eckhard Platen

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2008.00356.x
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Article provided by Blackwell Publishing in its journal Mathematical Finance.

Volume (Year): 19 (2009)
Issue (Month): 1 ()
Pages: 41-52
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Handle: RePEc:bla:mathfi:v:19:y:2009:i:1:p:41-52

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341. [Downloadable!] (restricted)
  2. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July. [Downloadable!] (restricted)
  3. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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This page was last updated on 2009-12-4.

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