scientific article; zbMATH DE number 947803

zbMath0858.62094MaRDI QIDQ4716197

Andrew J. O. Rennie, Martin Baxter

Publication date: 20 November 1996

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionmartingalesstochastic calculusfiltrationsBlack-Scholes modelarbitragepricingGirsanov theoremfinancial mathematicsasset pricesfinancial derivativesmartingale representation theorembinomial treeself-financing strategyprevisible processesIto processesIto calculusHeath-Jarrow-Morton frameworkCox-Ross-Rubinstein modelmarket securitiesderivative marketsdiscounted stock price processinterest rate marketinvariance of prices

Mathematics Subject Classification ID

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