Characterizes equivalent martingale measures in two-period multinomial markets as convex combinations of finitely many measures, supplies an algorithm for them, and applies the framework to a discrete Korn-Kreer-Lenssen model.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.MF 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Market Viability and Completeness for Multinomial Models
Characterizes equivalent martingale measures in two-period multinomial markets as convex combinations of finitely many measures, supplies an algorithm for them, and applies the framework to a discrete Korn-Kreer-Lenssen model.