Martingale Measures

  • RobertĀ J.Ā Elliott
  • P.Ā EkkehardĀ Kopp
Part of the Springer Finance book series (FINANCE)

Abstract

Fix a time set š•‹ = {0,1,2,... , T}, where the trading horizon T is treated as the terminal date of the economic activity being modelled, and the points of š•‹ are the admissible trading dates. We assume given a fixed probability space (Ī©, F, P) to model all ā€˜possible states of the marketā€™.

Keywords

Trading StrategyĀ Market ModelĀ Price ProcessĀ Contingent ClaimĀ Martingale MeasureĀ 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

Ā©Ā Springer Science+Business Media New YorkĀ 1999

Authors and Affiliations

  • RobertĀ J.Ā Elliott
    • 1
  • P.Ā EkkehardĀ Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellorsā€™ OfficeThe University of HullHullUK

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