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Martingale densities for general asset prices

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  • Schweizer, Martin
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-4582347-1H/2/a58fab5529abfe897bd5baf5b79185c9
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 21 (1992)
    Issue (Month): 4 ()
    Pages: 363-378

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    Handle: RePEc:eee:mateco:v:21:y:1992:i:4:p:363-378

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    Web page: http://www.elsevier.com/locate/jmateco

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    Cited by:
    1. Jean-Luc PRIGENT & Olivier SCAILLET, 2002. "Weak Convergence of Hedging Strategies of Contingent Claims," FAME Research Paper Series rp39, International Center for Financial Asset Management and Engineering.
    2. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
    3. Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
    4. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, vol. 31(3), pages 447-471, June.
    5. Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
    7. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org.
    9. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
    10. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
    11. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
    12. Claudio Fontana & Wolfgang J. Runggaldier, 2012. "Diffusion-based models for financial markets without martingale measures," Papers 1209.4449, arXiv.org, revised Feb 2013.
    13. Martin Schweizer, 1994. "On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition," Discussion Paper Serie B 284, University of Bonn, Germany.

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