On the fundamental theorem of asset pricing with an infinite state space

Citations

Cited by:

1. Patrick Assonken & G. S. Ladde, 2015. "Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-72, December.
2. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.
3. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
4. Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
5. Löffler, Andreas, 2003. "Das Standardmodell unter Unsicherheit ist ökonomisch unsinnig," Hannover Economic Papers (HEP) dp-274, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
6. Firoozi, Fathali, 2006. "On the martingale property of economic and financial instruments," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 87-96.
7. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
8. Tak Siu, 2006. "Option Pricing Under Autoregressive Random Variance Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(2), pages 62-75.
9. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
   • Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Paper 1158, Economics Department, Queen's University.
10. Patrizia Berti & Luca Pratelli & Pietro Rigo, 2010. "Finitely Additive Equivalent Martingale Measures," Quaderni di Dipartimento 123, University of Pavia, Department of Economics and Quantitative Methods.
11. Balbas, Alejandro & Miras, Miguel Angel & Munoz-Bouzo, Maria Jose, 2002. "Projective system approach to the martingale characterization of the absence of arbitrage," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 311-323, July.
12. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, vol. 91(1), pages 17-58, March.
13. Longarela, Iñaki R. & Pardo, Ángel, 1997. "Integration and arbitrage in the spanish financial markets: an empirical approach," DEE - Working Papers. Business Economics. WB 7017, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
14. Schürger, Klaus, 1996. "On the existence of equivalent [tau]-measures in finite discrete time," Stochastic Processes and their Applications, Elsevier, vol. 61(1), pages 109-128, January.
15. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
16. Yao, Yong, 1999. "Term structure modeling and asymptotic long rate," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 327-336, December.
17. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
18. Patrizia Berti & Luca Pratelli & Pietro Rigo, 2013. "Finitely Additive Equivalent Martingale Measures," Journal of Theoretical Probability, Springer, vol. 26(1), pages 46-57, March.
19. Gilles, Christian & LeRoy, Stephen F., 1998. "Arbitrage, martingales and bubbles," Economics Letters, Elsevier, vol. 60(3), pages 357-362, September.
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21. Balbás, Alejandro & Serna, Gregorio, 2024. "Selling options to beat the market: Further empirical evidence," Research in International Business and Finance, Elsevier, vol. 67(PB).
22. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 99-107, August.
23. Mirás, Miguel Ángel & Muñoz-Bouzo, María José, 2001. "Projective system approach to the martingale characterization of the absence of arbitrage," DEE - Working Papers. Business Economics. WB wb011505, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
24. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
25. Sebastian del Bano Rollin & Zsolt Bihari & Tomaso Aste, 2018. "Risk-Neutral Pricing and Hedging of In-Play Football Bets," Papers 1811.03931, arXiv.org.
26. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
27. Y, Ivanenko. & B, Munier., 2012. "Price as a choice under nonstochastic randomness in finance," Working papers 381, Banque de France.
28. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
29. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
30. repec:cte:wbrepe:wb043513 is not listed on IDEAS