A Martingale Representation Result and an Application to Incomplete Financial Markets
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- Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
- Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
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- Saul Jacka & Abdel Berkaoui, 2006. "On decomposing risk in a financial-intermediate market and reserving," Papers math/0603041, arXiv.org.
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- Huhtala, Heli, 2008. "Along but beyond mean-variance : Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.
- Sven Rady, 1997. "Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)," Finance and Stochastics, Springer, vol. 1(4), pages 331-344.
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