A new proof for the conditions of Novikov and Kazamaki
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- Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, vol. 18(1), pages 115-144, January.
More about this item
KeywordsLocal martingale; Stochastic exponential; Föllmer’s measure; Uniform integrability; Lower function; Bessel process;
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