Information, no-arbitrage and completeness for asset price models with a change point
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DOI: 10.1016/j.spa.2014.04.010
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References listed on IDEAS
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Cited by:
- David Criens, 2018. "No Arbitrage in Continuous Financial Markets," Papers 1809.09588, arXiv.org, revised Feb 2020.
- Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
- Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
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Keywords
Enlargement of filtration; Martingale representation; Random time; Change point; Regime switching; Arbitrage of the first kind; Free lunch with vanishing risk;All these keywords.
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