The no-arbitrage property under a change of numéraire
暂无分享,去创建一个
[1] W. Schachermayer,et al. A COUNTER-EXAMPLE TO SEVERAL PROBLEMS IN THE THEORY OF ASSET PRICING , 1993 .
[2] Jean-Charles Rochet,et al. Changes of numéraire, changes of probability measure and option pricing , 1995, Journal of Applied Probability.
[3] F. Delbaen,et al. Arbitrage possibilities in Bessel processes and their relations to local martingales , 1995 .
[4] M. Yor,et al. Continuous martingales and Brownian motion , 1990 .
[5] Freddy Delbaen,et al. REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED , 1992 .
[6] P. Protter. Stochastic integration and differential equations : a new approach , 1990 .
[7] Walter Schachermayer,et al. ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES , 1994 .
[8] Michael Wolfe,et al. J+ = J , 1994, ACM SIGPLAN Notices.
[9] P. Meyer,et al. Probabilités et potentiel , 1966 .
[10] J. Jacod. Calcul stochastique et problèmes de martingales , 1979 .
[11] Saul D. Jacka,et al. A Martingale Representation Result and an Application to Incomplete Financial Markets , 1992 .
[12] Walter Schachermayer,et al. A Simple Counterexample to Several Problems in the Theory of Asset Pricing , 1993 .
[13] F. Delbaen,et al. A general version of the fundamental theorem of asset pricing , 1994 .