| Autor: |
Rásonyi, Miklós, Sayit, Hasanjan |
| Rok vydání: |
2015 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close to $S$ in supremum norm. In the case where $S$ is a local martingale we may choose $Q$ arbitrarily close to the original probability in the total variation norm. We provide examples to illustrate the power of our results and present applications in mathematical finance. |
| Databáze: |
arXiv |
| Externí odkaz: |
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