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

DOI10.1080/07362999408809337MaRDI QIDQ4286483zbMATH OpenOpenAlexFDO

Authors M. 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

financial mathematicsstochastic analysismartingale measuresarbitrage-opportunities

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 27698 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Calcul stochastique et problèmes de martingales
• Equivalent martingale measures for bridge processes
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of options and corporate liabilities

Cited in

(9)

• Actuarial bridges to dynamic hedging and option pricing
• Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
• scientific article; zbMATH DE number 3891046 (Why is no real title available?)
• A More General Valuation and Arbitrage Theory for Itô Processes
• Beliefs and arbitrage pricing
• The depiction and construction of martingale measures in multinomial model
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• On the minimal martingale measure and the möllmer-schweizer decomposition
• No arbitrage and multiplicative special semimartingales

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