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Martingale densities for general asset prices


  • Schweizer, Martin


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  • Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378.
  • Handle: RePEc:eee:mateco:v:21:y:1992:i:4:p:363-378

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    References listed on IDEAS

    1. Cass, David, 1972. "On capital overaccumulation in the aggregative, neoclassical model of economic growth: A complete characterization," Journal of Economic Theory, Elsevier, vol. 4(2), pages 200-223, April.
    2. Shell, Karl, 1971. "Notes on the Economics of Infinity," Journal of Political Economy, University of Chicago Press, vol. 79(5), pages 1002-1011, Sept.-Oct.
    3. Masahiro Okuno & Itzhak Zilcha, 1980. "On the Efficiency of a Competitive Equilibrium in Infinite Horizon Monetary Economies," Review of Economic Studies, Oxford University Press, vol. 47(4), pages 797-807.
    4. Wilson, Charles A., 1981. "Equilibrium in dynamic models with an infinity of agents," Journal of Economic Theory, Elsevier, vol. 24(1), pages 95-111, February.
    5. P. Frevert, 1971. "Note," Review of Economic Studies, Oxford University Press, vol. 38(2), pages 269-270.
    6. Burke, Jonathan L., 1987. "Inactive transfer policies and efficiency in general overlapping-generations economies," Journal of Mathematical Economics, Elsevier, vol. 16(3), pages 201-222, June.
    7. Balasko, Yves & Shell, Karl, 1980. "The overlapping-generations model, I: The case of pure exchange without money," Journal of Economic Theory, Elsevier, vol. 23(3), pages 281-306, December.
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    Cited by:

    1. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
    3. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf, 2016. "Volatility and Arbitrage," Papers 1608.06121,
    5. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54.
    6. Fred Benth & Nils Detering, 2015. "Pricing and hedging Asian-style options on energy," Finance and Stochastics, Springer, vol. 19(4), pages 849-889, October.
    7. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274,, revised Feb 2004.
    8. Claudio Fontana & Wolfgang J. Runggaldier, 2012. "Diffusion-based models for financial markets without martingale measures," Papers 1209.4449,, revised Feb 2013.
    9. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192,, revised May 2014.
    10. Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
    12. W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55.
    13. Walter Schachermayer, 1993. "A Counterexample to Several Problems In the Theory of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 217-229.
    14. Ioannis Karatzas & Constantinos Kardaras, 2008. "The numeraire portfolio in semimartingale financial models," Papers 0803.1877,
    15. Martin Schweizer, 1994. "On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition," Discussion Paper Serie B 284, University of Bonn, Germany.
    16. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
    17. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759,, revised Jul 2013.
    18. Fernholz, E. Robert & Karatzas, Ioannis & Ruf, Johannes, 2017. "Volatility and arbitrage," LSE Research Online Documents on Economics 75234, London School of Economics and Political Science, LSE Library.
    19. Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
    20. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
    21. Constantinos Kardaras, 2009. "Market viability via absence of arbitrage of the first kind," Papers 0904.1798,, revised Jul 2010.
    22. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
    23. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.

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