Add to ORKGAbstract. Equivalent martingale measures are of key importance for pricing of complex derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps. 1
The general situation of the Black-Scholes Option Pricing Model was discussed under the assump-tion ...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
A martingale problem for pseudo-differential operators on infinite dimensional spaces is formulated ...
summary:The concept of an equivalent martingale measure is of key importance for pricing of financia...
This book gives a complete and elementary account of fundamental results on hyperfinite measures and...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
continuous time finance, derivatives pricing, idiosyncratic risk, stochastic volatility,
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to p...
Pólya urn scheme is a parametric probability model with interesting characteristics, which we shall ...
This thesis provides methods for constructing martingales with specified marginals.The first collect...
In a continuous time market model we consider the problem of existence of an equivalent martingale m...
aucunThis thesis provides methods for constructing martingales with specified marginals. The first c...
International audienceThis paper investigates the relationship between the minimal Hellinger marting...
The general situation of the Black-Scholes Option Pricing Model was discussed under the assump-tion ...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
A martingale problem for pseudo-differential operators on infinite dimensional spaces is formulated ...
summary:The concept of an equivalent martingale measure is of key importance for pricing of financia...
This book gives a complete and elementary account of fundamental results on hyperfinite measures and...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
continuous time finance, derivatives pricing, idiosyncratic risk, stochastic volatility,
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to p...
Pólya urn scheme is a parametric probability model with interesting characteristics, which we shall ...
This thesis provides methods for constructing martingales with specified marginals.The first collect...
In a continuous time market model we consider the problem of existence of an equivalent martingale m...
aucunThis thesis provides methods for constructing martingales with specified marginals. The first c...
International audienceThis paper investigates the relationship between the minimal Hellinger marting...
The general situation of the Black-Scholes Option Pricing Model was discussed under the assump-tion ...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
A martingale problem for pseudo-differential operators on infinite dimensional spaces is formulated ...