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A characterization theorem for unique risk neutral probability measures

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  • Jarrow, Robert A.

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  • Jarrow, Robert A., 1986. "A characterization theorem for unique risk neutral probability measures," Economics Letters, Elsevier, vol. 22(1), pages 61-65.
  • Handle: RePEc:eee:ecolet:v:22:y:1986:i:1:p:61-65
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    Cited by:

    1. Jarno Talponen & Lauri Viitasaari, 2013. "Note on multidimensional Breeden-Litzenberger representation for state price densities," Papers 1305.5963, arXiv.org, revised Jan 2014.
    2. Jarno Talponen & Lauri Viitasaari, 2014. "Multidimensional Breeden-Litzenberger representation for state price densities and static hedging," Papers 1401.6383, arXiv.org.
    3. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245.
    4. Jarno Talponen, 2013. "Matching distributions: Asset pricing with density shape correction," Papers 1312.4227, arXiv.org, revised Mar 2018.
    5. Brown, Donald J & Ross, Stephen A, 1991. "Spanning, Valuation and Options," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 3-12, January.
    6. Jarno Talponen, 2014. "On volatility smile and an investment strategy with out-of-the-money calls," Papers 1410.1426, arXiv.org.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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