The numéraire portfolio in semimartingale financial models

Finance and Stochastics

Volumn 11, Issue 4, 2007, Pages 447-493

  Karatzas, Ioannis ^a   Kardaras, Constantinos ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b Boston University   (United States)

Author keywords

Free lunch; Log utility; Num raire portfolio; Predictable characteristics; Semimartingale; Supermartingale deflator

Indexed keywords

EID: 34548066531     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-007-0047-3     Document Type: Article

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