On the existence and characterization of arbitrage–free measure in contingent claim valuation

DOI10.1080/07362999408809337zbMath0806.60050OpenAlexW2031572341MaRDI QIDQ4286483

Marek Musiela, Norbert Christopeit

Publication date: 6 April 1994

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999408809337

zbMATH Keywords

stochastic analysisfinancial mathematicsmartingale measuresarbitrage-opportunities

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Mathematical economics (91B99)

Related Items (4)

Actuarial bridges to dynamic hedging and option pricing ⋮ No arbitrage and multiplicative special semimartingales ⋮ On the minimal martingale measure and the möllmer-schweizer decomposition ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Calcul stochastique et problèmes de martingales
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Equivalent martingale measures for bridge processes

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