The Existence of Dominating Local Martingale Measures
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References listed on IDEAS
- Pal, Soumik & Protter, Philip, 2010. "Analysis of continuous strict local martingales via h-transforms," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1424-1443, August.
- Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
- Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
- Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," SFB 373 Discussion Papers 1998,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
- Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," LSE Research Online Documents on Economics 65150, London School of Economics and Political Science, LSE Library.
- Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.
- Markus Bibinger & Lars Winkelmann, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers SFB649DP2013-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-21 (All new papers)
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