Pricing by Arbitrage Under Arbitrary Information

DOI10.1111/1467-9965.00050zbMATH Open0910.90006OpenAlexW2037247292MaRDI QIDQ4213038FDOQ4213038

M. J. P. Selby, Simon H. Babbs

Publication date: 7 October 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00050

zbMATH Keywords

contingent claimsincomplete marketspricing by arbitrageinformation filtration

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44)

Cited In (4)

• Valuation and martingale properties of shadow prices: an exposition
• On volatility of prices in arbitrage-free markets
• Arbitrage and universal pricing.
• A Markov regime-switching marked point process for short-rate analysis with credit risk

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