Pricing by Arbitrage Under Arbitrary Information

DOI10.1111/1467-9965.00050MaRDI QIDQ4213038zbMATH OpenOpenAlexFDO

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

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 marketsinformation filtrationpricing by arbitrage

Mathematics Subject Classification ID

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

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Cited in

(10)

• Multiperiod security markets with differential information
• Valuation and martingale properties of shadow prices: an exposition
• Arbitrage and universal pricing.
• On volatility of prices in arbitrage-free markets
• Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing
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• A Markov regime-switching marked point process for short-rate analysis with credit risk
• The information premium on a finite probability space
• Beliefs and arbitrage pricing

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