On the characterisation of honest times that avoid all stopping times
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DOI: 10.1016/j.spa.2013.07.012
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References listed on IDEAS
- Ashkan Nikeghbali & Eckhard Platen, 2013. "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, vol. 17(3), pages 615-640, July.
- R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
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Cited by:
- Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Vulnerable European and American Options in a Market Model with Optional Hazard Process," Papers 2212.12860, arXiv.org.
- Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
- Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
- Irina Penner & Anthony Réveillac, 2015. "Risk measures for processes and BSDEs," Finance and Stochastics, Springer, vol. 19(1), pages 23-66, January.
- Libo Li, 2018. "Characterisation of honest times and optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org, revised Dec 2021.
- Libo Li, 2022. "Characterisation of Honest Times and Optional Semimartingales of Class- $$(\Sigma )$$ ( Σ )," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2145-2175, December.
- Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
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Keywords
Honest times; Times of maximum; Non-negative local martingales; Running supremum;All these keywords.
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