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On the implied market price of risk under the stochastic numéraire
Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251
Persistent link: https://www.econbiz.de/10011945595
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On statistical indistinguishability of complete and incomplete discrete time market models
Dokučaev, Nikolaj G. - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 461-475
Persistent link: https://www.econbiz.de/10014443751
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On statistical indistinguishability of complete and incomplete discrete time market models
Dokuchaev, Nikolai - 2020
We investigate the possibility of statistical evaluation of the market completeness for discrete timestock market models. It is known that the market completeness isnot a robust property: small random deviations of the coefficientsconvert a complete market model into a incomplete one. The...
Persistent link: https://www.econbiz.de/10012857188