Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models
David Criens, Kathrin Glau and Zorana Grbac
| Year of publication: |
March-April 2017
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| Authors: | Criens, David ; Glau, Kathrin ; Grbac, Zorana |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 1/2, p. 23-37
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| Subject: | Exponential semimartingale | martingale property | uniform integrability | semimartingale asset price model | Libor model | Martingal | Martingale | CAPM | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Arbitrage Pricing | Arbitrage pricing | Zinsstruktur | Yield curve |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1327324 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011746992