Martingale property of exponential semimartingales

Criens, D., Glau, K., & Grbac, Z. (2017). Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Applied Mathematical Finance, 24(1), 23-37.

Type

Journal article

Intellectual base

Primary research

Year

2017

Volume

24

Issue

1

Pages

23-37

DOI

10.1080/1350486x.2017.1327324

DOI registrant

Taylor & Francis

Link

https://doi.org/10.1080/1350486X.2017.1327324

Cited by

1 citation across 1 artifact.

Domain-specific

• Doléans–Dade Exponential
  • Discounted asset prices may be local martingales without being true martingales, a distinction tied to bubbles, risk-neutral valuation, and valid changes of numeraire.

Verification

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Links previously used in the corpus

Before the registry existed this work was also linked 1 other way.

• https://arxiv.org/abs/1506.08127 ×1

Registry ID ref:339d2b0663b3 · see in the full table