Properly discounted asset prices are semimartingales
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Author / Producer
Date
2019-10
Publication Type
Working Paper
ETH Bibliography
yes
Citations
Altmetric
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Publication status
published
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Book title
Journal / series
Volume
19-53
Pages / Article No.
Publisher
Social Science Research Network
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Semimartingales; Discounting; Dynamic share viability; Simple strategies; Noshort-sales constraints; NA1 for simple strategies; Supermartingale discounter
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin