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Arbitrage and completeness in financial markets with given N-dimensional distributions

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  • Luciano Campi

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  • Luciano Campi, 2004. "Arbitrage and completeness in financial markets with given N-dimensional distributions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 57-80, August.
    • Handle: RePEc:spr:decfin:v:27:y:2004:i:1:p:57-80
    DOI: 10.1007/s10203-004-0044-3
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    References listed on IDEAS

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    1. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    2. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    3. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    5. Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52, January.
    6. F. Thierbach, 2003. "Mean-Variance Hedging Under Additional Market Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 613-636.
    7. Damiano Brigo & Fabio Mercurio, 2000. "Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices," Finance and Stochastics, Springer, vol. 4(2), pages 147-159.
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    Cited by:

    1. Pietro Siorpaes, 2015. "Optimal investment and price dependence in a semi-static market," Finance and Stochastics, Springer, vol. 19(1), pages 161-187, January.
    2. Erhan Bayraktar & Gu Wang, 2018. "Quantile Hedging in a semi-static market with model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
    3. Luciano Campi & Claude Martini, 2016. "On the support of extremal martingale measures with given marginals: the countable case," Papers 1607.07197, arXiv.org, revised Mar 2019.
    4. Albin, J.M.P., 2008. "A continuous non-Brownian motion martingale with Brownian motion marginal distributions," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 682-686, April.

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