Representation of some particular Azéma supermartingales

Christophe Profeta (), Bernard Roynette () and Marc Yor
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Christophe Profeta: Université Nancy I
Bernard Roynette: Université Nancy I
Marc Yor: Université Paris VI

Chapter Chapter 3 in Option Prices as Probabilities, 2010, pp 65-87 from Springer

Abstract: Abstract We show how the formula obtained in Chapter 2 for the supermartingale associated with a last passage time at a given level fits with a more general representation of Azéma supermartingales. We also recall progressive enlargement formulae, and particularize them to our framework. Finally, we discuss a representation problem for Skorokhod submartingales.

Keywords: Option Price; Local Martingale; Predictable Process; Bessel Process; Monotone Convergence Theorem (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-10395-7_3

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DOI: 10.1007/978-3-642-10395-7_3

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