Martingale Pricing
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Cited by:
- Nikolai Dokuchaev, 2011. "On martingale measures and pricing for continuous bond-stock market with stochastic bond," Papers 1108.0719, arXiv.org, revised Sep 2014.
- Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
- Yaroslav Ivanenko & Illya Pasichnichenko, 2013. "Uncertainty and absence of arbitrage opportunity," Papers 1307.5602, arXiv.org.
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Keywords
arbitrage; risk-neutral probability; equivalent martingale measure; stochastic discount factor; state price density process; change of numeraire;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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