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Martingale Approach

In: Heterogeneous Agents in Asset Pricing, Vol 1

Author

Listed:
  • Hamilton Galindo Gil

    (Cleveland State University, Department of Finance and Economics
    Universidad ESAN, Graduate School of Business)

Abstract

This chapter describes the second approach to solving the dynamic optimization problem of an agent in continuous-time asset pricing theory: the martingale approach. This approach exploits the martingale characteristic of asset prices to solve dynamic models. This chapter provides a detailed explanation of this approach and compares it to the dynamic programming approach.

Suggested Citation

  • Hamilton Galindo Gil, 2025. "Martingale Approach," Lecture Notes in Economics and Mathematical Systems, in: Heterogeneous Agents in Asset Pricing, Vol 1, chapter 0, pages 105-128, Springer.
    • Handle: RePEc:spr:lnechp:978-3-031-93263-2_3
    DOI: 10.1007/978-3-031-93263-2_3
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