On the use of semimartingales and stochastic integrals to model continuous trading (Q1088571)
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| Language | Label | Description | Also known as |
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| English | On the use of semimartingales and stochastic integrals to model continuous trading |
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On the use of semimartingales and stochastic integrals to model continuous trading (English)
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1986
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The continuous-time contingent claim valuation model is generalized to stopping times with random trading dates and unlimited opportunities to trade while trading intercessions occur finitely, albeit arbitrarily, often. Robustness and stability of the model are shown, supporting its use in discrete-time contexts. The no-arbitrage value of a redundant claim is a stochastic integral obtained as the limit of bounded arbitrage opportunities.
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martingales
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continuous-time contingent claim valuation model
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stopping times
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random trading dates
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Robustness
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stability
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stochastic integral
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