Martingales and arbitrage in multiperiod securities markets

DOI10.1016/0022-0531(79)90043-7zbMath0431.90019OpenAlexW1985018066WikidataQ88649475 ScholiaQ88649475MaRDI QIDQ1138469

Publication date: 1979

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(79)90043-7

zbMATH Keywords

option pricing arbitrage theory martingale measures contingent claim valuation multiperiod securities markets

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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