No arbitrage and multiplicative special semimartingales
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2023/06/09
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Journal
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Indian UGC (journal)
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Refrences65
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Eckhard Platen
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Stefan Tappe ORCID (unauthenticated)
Abstract
Cite
Platen, Eckhard, and Stefan Tappe. “No Arbitrage and Multiplicative Special Semimartingales”. Advances in Applied Probability, vol. 55, no. 3, 2023, pp. 1033-74, https://doi.org/10.1017/apr.2022.62.
Platen, E., & Tappe, S. (2023). No arbitrage and multiplicative special semimartingales. Advances in Applied Probability, 55(3), 1033-1074. https://doi.org/10.1017/apr.2022.62
Platen, Eckhard, and Stefan Tappe. “No Arbitrage and Multiplicative Special Semimartingales”. Advances in Applied Probability 55, no. 3 (2023): 1033-74. https://doi.org/10.1017/apr.2022.62.
Platen E, Tappe S. No arbitrage and multiplicative special semimartingales. Advances in Applied Probability. 2023;55(3):1033-74.
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| The no-arbitrage property under a change of numéraire | 1995 | |||
| Couverture des actifs contingents et prix maximum | 1994 | |||
| Arbitrage et lois de martingale | 1990 | |||
| An alternative proof of a result of Takaoka | 2013 | |||
| A Benchmark Approach to Quantitative Finance | 2010 |