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Explicit construction of stochastic exponentials with arbitrary expectation k[set membership, variant](0,1)

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  • Wong, Bernard

Abstract

We provide a simple and explicit construction of a family of stochastic exponentials with expectation k[set membership, variant](0,1). Our family of stochastic exponentials can be constructed to be either strictly positive or merely non-negative.

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  • Wong, Bernard, 2009. "Explicit construction of stochastic exponentials with arbitrary expectation k[set membership, variant](0,1)," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 880-883, April.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:7:p:880-883
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    References listed on IDEAS

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    1. Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
    2. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
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