Weak time-derivatives and no-arbitrage pricing
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DOI: 10.1007/s00780-018-0371-9
Abstract: We prove a risk-neutral pricing formula for a large class of semimartingale processes through a novel notion of weak time-differentiability that permits to differentiate adapted processes. In particular, the weak time-derivative isolates drifts of semimartingales… read more here.
Keywords: time; pricing; time derivatives; weak time ... See more keywords