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Martingales and Stochastic Integrals in the Theory of Continous Trading

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J. Michael Harrison
Stanley R. Pliska
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File URL: http://www.kellogg.northwestern.edu/research/math/papers/454.pdf
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Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 454.

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Date of creation: Jan 1981
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Handle: RePEc:nwu:cmsems:454

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  2. Dietmar P.J. Leisen, 1997. "The Random-Time Binomial Model," Finance 9711005, EconWPA, revised 29 Nov 1998. [Downloadable!]
  3. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics. [Downloadable!]
  4. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York. [Downloadable!]
  5. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
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  7. Dudenhausen, Antje, Erik Schloegl and Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999. [Downloadable!]
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  9. Laurini, Márcio P. & Hotta, Luiz K., 2008. "Inferência indireta em modelos fracionários de taxas de juros de curto prazo," Ibmec Working Papers wpe_119, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
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