Dynamic spanning without probabilities

DOI10.1016/0304-4149(94)90128-7zbMath0801.90010MaRDI QIDQ1327557

Walter Willinger, Avi Bick

Publication date: 12 July 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90128-7

zbMATH Keywords

Black-Scholes model; continuous-time trading; non-probabilistic approach

Mathematics Subject Classification ID

91B62: Economic growth models

Related Items

Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹, Arbitrage pricing with incomplete markets, Financial options and statistical prediction intervals

Cites Work

• Information structure and equilibrium asset prices
• Pathwise stochastic integration and applications to the theory of continuous trading
• On the use of semimartingales and stochastic integrals to model continuous trading
• Martingales and stochastic integrals in the theory of continuous trading
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• An Intertemporal General Equilibrium Model of Asset Prices
• On the integral representation of functionals of ltd processest
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• On Modeling Questions In Security Valuation
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Cauchy-Stieltjes and Riemann-Stieltjes integrals
• Real and functional analysis
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