A note on the terminal date security prices in a continuous time trading model with dividends

DOI10.1016/0304-4068(91)90011-HMaRDI QIDQ1174342zbMATH OpenOpenAlexFDO

Authors Kazuhiko Ohashi

Publication date 25 June 1992

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4068(91)90011-h

zbMATH Keywords

arbitragecontinuous time security trading model

Mathematics Subject Classification ID

Economic growth models (91B62) Trade models (91B60)

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• Arbitrage pricing of contingent claims
• An extension of the Black-Scholes model of security valuation
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• Security price modelling by a binomial tree

Cites work

• scientific article; zbMATH DE number 3837095 (Why is no real title available?)
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• Arbitrage and equilibrium in economies with infinitely many commodities
• Information structure and equilibrium asset prices
• Information structures and viable price systems
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Multiperiod security markets with differential information
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis

Cited in

(3)

• Optimal stopping and American options with discrete dividends and exogenous risk
• DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET
• Quadratic hedging for asset derivatives with discrete stochastic dividends.

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