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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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    File URL: http://hdl.handle.net/10.1007/s10203-004-0044-3
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    Bibliographic Info

    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 27 (2004)
    Issue (Month): 1 (08)
    Pages: 57-80

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    Handle: RePEc:spr:decfin:v:27:y:2004:i:1:p:57-80

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    Web page: http://link.springer.de/link/service/journals/10203/index.htm

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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. 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.
    3. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. 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.
    5. 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. 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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