Results 91 to 100 of about 740,184 (197)
Equivalent Martingale Measures and Lévy Processes [PDF]
In this paper we compute equivalent martingale measures when the asset price return is modeled by a Lévy process.
José Fajardo
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Chaotic expansion of powers and martingale representation (v1.5) [PDF]
This paper extends a recent martingale representation result of [N-S] for a Levy process to filtrations generated by a rather large class of semimartingales.
Farshid Jamshidian
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Chaotic expansion of powers and martingale representation (v1.2) [PDF]
This paper extends a recent martingale representation result of [N-S] for a L\'{e}vy process to filtrations generated by a rather large class of semimartingales.
Farshid Jamshidian
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Martingale convergence via the square function
, 1981 By exploiting the natural setting of a convergence theorem of Burkholder, a direct and elementary proof of the theorem is given. This proof is also new for the martingale convergence theorem and the martingale transform convergence theorem which are ...
Louis H. Y. Chen
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Supplement to ``Martingale properties of self-enforcing debt'' [PDF]
We present some complementary results to Bidian and Bejan (2012). Part 1 provides necessary and sufficient transversality conditions for an agent's optimization problem.
Bejan, Camelia, Bidian, Florin
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A short proof of the martingale convergence theorem
, 1973 The martingale convergence theorem is first proved for uniformly integrable martingales by a standard application of Doob’s maximal inequality. A simple truncation argument is then given which reduces the proof of the L ...
Charles W. Lamb
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Mean-Variance Hedging under Additional Market Information [PDF]
In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims.
Frank Thierbach
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Martingalized Historical approach for Option Pricing [PDF]
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies.
Dominique Guegan +2 more
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Martingale-Like Behavior of Prices [PDF]
Asset prices set in a competitive market need not be martingales; that is, it need not be true that the best predictor of future prices is the current price.
Christopher A. Sims
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Regression Asymptotics Using Martingale Convergence Methods [PDF]
Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The
Peter C.B. Phillips, Rustam Ibragimov
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