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Showing 1 to 3 of 3 for “"local martingale"”.
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On moment conditions for the Girsanov Theorem
… are motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of …
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Mean-variance hedging in an illiquid market
… first found when the liquidly traded asset is a local martingale under the real world probability measure through an application of the Kunita-Watanabe projection onto the space of attainable claims. The result is then extended to the case where the liquidly traded asset is a continuous square …
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Optimal Trading Strategies Under Arbitrage
… risk (rather than the existence of an equivalent local martingale measure) is assumed. A new measure under which the dynamics of the stock price processes simplify is constructed. It is shown that delta hedging does not depend on the "no free lunch with vanishing risk" assumption. However, in the …