Arbitrage in continuous complete markets
DOI10.1239/AAP/1033662165zbMATH Open1055.91033OpenAlexW2030718044MaRDI QIDQ4804607FDOQ4804607
Authors: Eckhard Platen 
Publication date: 2002
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1033662165
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growth optimal portfoliomutual fund theoremcontingent claim pricingnuméraire portfolioarbitrage amountcontinuous financial marketforward rate equation
Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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- Real-world jump-diffusion term structure models
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