Risk Premia and Financial Modelling Without Measure Transformation
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Other versions of this item:
- Platen, Eckhard, 2000. "Risk premia and financial modelling without measure transformation," SFB 373 Discussion Papers 2000,92, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
References listed on IDEAS
- Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187.
- Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
- Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992.
"Option Pricing Under Incompleteness and Stochastic Volatility,"
Mathematical Finance,
Wiley Blackwell, vol. 2(3), pages 153-187.
- N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.
- L. C. G. Rogers, 1997. "The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 157-176.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
Citations
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Cited by:
- Song Xi Chen & Wolfgang Härdle & Ming Li, 2003.
"An empirical likelihood goodness-of-fit test for time series,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 65(3), pages 663-678.
- Chen, Song Xi & Härdle, Wolfgang & Kleinow, Torsten, 2000. "An empirical likelihood goodness-of-fit test for time series," SFB 373 Discussion Papers 2001,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008.
"Semiparametric diffusion estimation and application to a stock market index,"
Quantitative Finance,
Taylor & Francis Journals, vol. 8(1), pages 81-92.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
- Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001. "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers 2001,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rei[ss], Oliver & Schoenmakers, John & Schweizer, Martin, 2007. "From structural assumptions to a link between assets and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 593-612, February.
- David Heath & Eckhard Platen, 2001. "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series 61, Quantitative Finance Research Centre, University of Technology, Sydney.
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Keywords
financial market modelling; deflator; risk premium; contingent claim pricing; incomplete market;JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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