Sign in. Not registered? Sign up. Publications Pages Publications Pages. Recently viewed 0 Save Search. Users without a subscription are not able to see the full content. Arbitrage Theory in Continuous Time. Find in Worldcat. Search within book. Subscriber sign in You could not be signed in, please check and try again. Username Please enter your Username. Password Please enter your Password. Forgot password? You could not be signed in, please check and try again.
Sign in with your library card Please enter your library card number. If you think you should have access to this title, please contact your librarian. Now the catch : the augmented market with stock, bond and value process consists of assets whose discounted values are martingales. Thus, the value process is in fact independent of the equivalent martingale measure if several exist for replicable payoffs this, by the way, points to the second FTAP.
Importantly, this price is model-dependent. Sign up to join this community. The best answers are voted up and rise to the top. Asked 6 months ago. Active 6 months ago. Viewed times. Improve this question. Jan Stuller. Jan Stuller Jan Stuller 3, 1 1 gold badge 5 5 silver badges 34 34 bronze badges. What about the at-the-money forward example I illustrate in the question?
It does not appear to be a Q-martingale when discounted by the bank account. Show 8 more comments. Active Oldest Votes. Improve this answer. Kevin Kevin Apologies for keeping asking additional questions. When I use this replication strategy, i keep getting a different pricing measure than the risk- neutral Measure as a result - how do we explain that?
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