The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage

DOI10.1090/S0094-9000-2014-00920-5MaRDI QIDQ2923401zbMATH OpenFDO

Authors J. Dhaene, A. Kukush, D. Linders

Publication date 15 October 2014

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

Brownian motioncompletenessBlack and Scholes modelarbitrage-free marketrisk-neutral probability measuremultivariate asset price model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24)

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• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• Martingale methods in financial modelling.
• Pricing of arithmetic basket options by conditioning.
• The concept of comonotonicity in actuarial science and finance: applications.
• The mathematics of arbitrage
• The pricing of options and corporate liabilities

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(12)

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• American-type basket option pricing: a simple two-dimensional partial differential equation
• A multidimensional stock market model
• A model of financial market with several interacting assets. Complete market case
• The Black–Scholes equation in the presence of arbitrage
• Some problems related to the Black-Scholes type security markets
• Financial markets with no riskless (safe) asset
• Comonotonic asset prices in arbitrage-free markets
• Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
• On the (in-)dependence between financial and actuarial risks
• Default probabilities of a holding company, with complete and partial information
• A framework for robust measurement of implied correlation

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