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- W2535806874 abstract "We prove a risk-neutral pricing formula for a large class of semimartingale processes through a novel notion of weak time-differentiability that permits to differentiate adapted processes. In particular, the weak time-derivative isolates drifts of semimartingales and is null for martingales. Weak time-differentiability enables us to characterize no-arbitrage prices as solutions of differential equations, where interest rates play a key role. Finally, we reformulate the eigenvalue problem of Hansen and Scheinkman (Econometrica 77:177–234, 2009) by employing weak time-derivatives." @default.
- W2535806874 created "2016-10-28" @default.
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- W2535806874 date "2018-09-07" @default.
- W2535806874 modified "2023-09-26" @default.
- W2535806874 title "Weak time-derivatives and no-arbitrage pricing" @default.
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- W2535806874 doi "https://doi.org/10.1007/s00780-018-0371-9" @default.
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