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Stochastics and Stochastic Reports Volume 51, 1994 - Issue 1-2
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Original Articles

Equivalent martingale measures and no-arbitrage

L. C. G. Rogers University of Bath
Pages 41-49 | Published online: 04 Apr 2007

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Simone Farinelli & Hideyuki Takada. (2022) The Black–Scholes equation in the presence of arbitrage. Quantitative Finance 22:12, pages 2155-2170.
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Peter Hieber, Jan Natolski & Ralf Werner. (2019) Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal 2019:6, pages 478-507.
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Henryk Gzyl & Silvia Mayoral. (2012) Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean. Applied Mathematical Finance 19:4, pages 299-312.
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Manfred Schäl. (2004) On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability. Scandinavian Actuarial Journal 2004:3, pages 189-210.
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