OpenAlex | Equivalent martingale measures and no-arbitrage in stochastic securities market models

Equivalent martingale measures and no-arbitrage in stochastic securities market models

Work

Year: 1990

Type: article

Source: Stochastics and stochastics reports

Authors Robert C. Dalang, A. J. Morton, Walter Willinger

Institutions University of California, Berkeley, University of Illinois Chicago

Cites: 17

Cited by: 456

Related to: 10

FWCI: 6.84

Citation percentile (by year/subfield): 98.97

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed