Filtration shrinkage, the structure of deflators, and failure of market completeness
Constantinos Kardaras, Johannes Ruf
| Year of publication: |
2020
|
|---|---|
| Authors: | Kardaras, Constantinos ; Ruf, Johannes |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 4, p. 871-901
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| Subject: | Bayes rule | Brownian motion | Deflator | Lévy transform | Local martingale | Market completeness | Predictable representation property | Stochastischer Prozess | Stochastic process | Deflation | Martingal | Martingale | Bayes-Statistik | Bayesian inference | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00435-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518123