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MODELING FINANCIAL MARKET INTERPOLATIONS USING MARTINGALE DEFLATORSстатья Исследовательская статья Электронная публикация
- Авторы: Pavlov I.V., Danekyants A.G., Neumerzhitskaia N.V., Tsvetkova I.V.
- Журнал: Global and Stochastic Analysis
- Том: 9
- Номер: 3
- Год издания: 2022
- Первая страница: 45
- Последняя страница: 51
- Аннотация: In this work a new types of deflators are considered. We call thesedeflators interpolating deflators. They may be applied to construct interpo-lations of financial markets, including arbitrage ones. In the arbitrage-freecase the interpolations obtained with the help of strictly positive deflatorscoincide with interpolations obtained with the help of equivalent martingalemeasures. In the case of static market, when the stock under considerationadmits in the terminal time 3 values, we prove the criterion on the coinci-dence of all admissible deflators with all interpolating deflators. This resultis a generalization of the correspondent result about interpolating martingalemeasures
- Добавил в систему: Павлов Игорь Викторович