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Equivalent martingale measures and optimal market completions

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journal contribution
posted on 1990-01-01, 00:00 authored by Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associated with exponential martingales (not just local martingales) and, therefore, to 'an optimal equivalent martingale measure'. Results of independent interest, in the theory of continuous-time martingales, are derived as well."

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1990-01-01

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