On equivalent martingale measures with bounded densities
Yuri Kabanov, Christophe Stricker (2001)
Séminaire de probabilités de Strasbourg
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Yuri Kabanov, Christophe Stricker (2001)
Séminaire de probabilités de Strasbourg
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Patrizia Berti, Luca Pratelli, Pietro Rigo, Fabio Spizzichino (2015)
Dependence Modeling
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Let (X,A) and (Y,B) be measurable spaces. Supposewe are given a probability α on A, a probability β on B and a probability μ on the product σ-field A ⊗ B. Is there a probability ν on A⊗B, with marginals α and β, such that ν ≪ μ or ν ~ μ ? Such a ν, provided it exists, may be useful with regard to equivalent martingale measures and mass transportation. Various conditions for the existence of ν are provided, distinguishing ν ≪ μ from ν ~ μ.
Michał Barski (2015)
Banach Center Publications
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The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.
Yang, Jianqi, Yan, Haifeng, Liu, Limin (2006)
Journal of Applied Mathematics and Decision Sciences
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Joanna Piasecka (2000)
Applicationes Mathematicae
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Conditions for the absence of arbitrage in discrete time markets with various kinds of transaction costs are shown.
Jean Jacod (1979)
Banach Center Publications
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Yuri Kabanov, Christophe Stricker (2001)
Séminaire de probabilités de Strasbourg
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Alejandro Balbás, Pedro Jiménez-Guerra (2009)
RACSAM
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Jakub Olejnik (2005)
Applicationes Mathematicae
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We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.
Ludger Overbeck (1995)
Séminaire de probabilités de Strasbourg
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Nassif Ghoussoub (1982)
Séminaire de probabilités de Strasbourg
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