Abstract. This short note offers a new proof of the following fact: in a discrete-time arbitrage-free market model, a contingent claim is attainable if and only if its expected value is the same under all equivalent martingale measures. The proof is based on Rogers’ proof [9] of the Dalang–Morton–Willinger [1] theorem. 1
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum...
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of conti...
It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not...
In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. ...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
This thesis focuses on pricing derivatives securities such as stock options\ud in incomplete financi...
A general class, introduced in [7], of continuous time bond markets driven by a standard cylindrical...
A paper by the same authors in the 1981 volume of Stochastic Processes and Their Applications presen...
AbstractA paper by the same authors in the 1981 volume of Stochastic Processes and Their Application...
We prove that in a discrete-time market model the lower arbitrage bound of an American contingent cl...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
Abstract. King and Korf [3] introduced a new framework for analyzing pricing theory for incomplete m...
We study the uniqueness of the marginal utility-based price of contingent claims in a semimartingale...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum...
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of conti...
It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not...
In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. ...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
This thesis focuses on pricing derivatives securities such as stock options\ud in incomplete financi...
A general class, introduced in [7], of continuous time bond markets driven by a standard cylindrical...
A paper by the same authors in the 1981 volume of Stochastic Processes and Their Applications presen...
AbstractA paper by the same authors in the 1981 volume of Stochastic Processes and Their Application...
We prove that in a discrete-time market model the lower arbitrage bound of an American contingent cl...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
Abstract. King and Korf [3] introduced a new framework for analyzing pricing theory for incomplete m...
We study the uniqueness of the marginal utility-based price of contingent claims in a semimartingale...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum...
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of conti...
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