Arbitrage in continuous complete markets

By Eckhard Platen. Advances in Applied Probability, 2002

136 citations recorded by the source corpus.

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Citations in the corpus

On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006, methodology): “Finally, the fifth section derives the minimal market model (Platen, 2002, 2004b), which potentially explains the Student t property of log-returns.”
Approximating the numéraire portfolio by naive diversification (2010, methodology): “In Platen and Rendek (2010), the authors perform a detailed simulation study on the effect of diversification for a range of market models beyond the standard market model.”
HEDGING UNDER ARBITRAGE (2010, unknown): “l not assume that the SDF Zθ(·)is a true martingale. Cases where Zθ(·)is only a local martingale have, for example, been discussed by Karatzas et al. (1991), Schweizer (1992), in the BA starting with Platen (2002) and Heath and Platen (2002a,b) and in SPT; see, for example, Fernholz et al. (2005) an”
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices (2007, methodology): “The use of diversifled world stock indices, for studying properties of log-returns, instead of stock prices or exchange rates, is motivated by the benchmark approach developed in Platen (2002, 2004) and Platen & Heath (2006).”
A Fair Pricing Approach to Weather Derivatives (2004, methodology): “, n}}, as defined in Bühlmann & Platen (2003), where all changes in the value of the portfolio are due to changes in the values of the primary security accounts.”
Analysis of continuous strict local martingales via h-transforms (2007, methodology): “This is the spirit taken in Platen [31], Platen and Heath [32], Fernholz and Karatzas [12], Fernholz, Karatzas, and Kardaras [13], and Karatzas and Kardaras [22].”
A BENCHMARK APPROACH TO FINANCE (2006, unknown): “The current paper emphasizes that this fair pricing concept, see Platen (2002), does not require the existence of an equivalent risk-neutral martingale measure.”
Diversified Portfolios with Jumps in a Benchmark Framework (2004, methodology): “This covers the case discussed in Platen (2002) .”