3 papers
q-fin.PR2020
Derivatives Pricing in Non-Arbitrage Market
N. S. Gonchar
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evol…
q-fin.ST2018
Description of Incomplete Financial Markets for the Discrete Time Evolution of Risk Assets
N. S. Gonchar
In the paper, the martingales and super-martingales relative to a regular set of measures are systematically studied. The notion of local regular super-martingale relative to a set…
q-fin.ST2018
Martingales and Super-martingales Relative to a Convex Set of Equivalent Measures
Nicholas S. Gonchar
In the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relativ…