On the semimartingale property of discounted asset-price processes
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- Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.
References listed on IDEAS
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- Kreher, Dörte, 2017. "Change of measure up to a random time: Details," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1565-1598.
- Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
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- Constantinos Kardaras, 2011. "On the closure in the Emery topology of semimartingale wealth-process sets," Papers 1108.0945, arXiv.org, revised Jul 2013.
- Constantinos Kardaras & Eckhard Platen, 2008.
"Minimizing the Expected Market Time to Reach a Certain Wealth Level,"
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230, Quantitative Finance Research Centre, University of Technology, Sydney.
- Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Papers 0904.1903, arXiv.org.
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"Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading,"
0812.0033, arXiv.org, revised Mar 2010.
- Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies," Research Paper Series 240, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
- Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
- Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
More about this item
KeywordsNumeraire portfolio Semimartingales Buy-and-hold strategies No-short-sales constraints Arbitrage of the first kind Supermartingale deflators;
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