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A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets

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  • Bertrand Melenberg
  • Bas Werker

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  • Bertrand Melenberg & Bas Werker, 1999. "A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets," Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 11-30, January.
    • Handle: RePEc:spr:sistpr:v:2:y:1999:i:1:p:11-30
    DOI: 10.1023/A:1009987124647
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    References listed on IDEAS

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    1. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    2. Amin, Kaushik I & Ng, Victor K, 1993. "Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, vol. 48(3), pages 881-910, July.
    3. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    4. Huang, Chi-Fu, 1985. "Information structure and equilibrium asset prices," Journal of Economic Theory, Elsevier, vol. 35(1), pages 33-71, February.
    5. Back, Kerry, 1991. "Asset pricing for general processes," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 371-395.
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