A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
From MaRDI portal
Publication:508631
DOI10.1515/ausm-2016-0013zbMath1368.91164MaRDI QIDQ508631
Publication date: 7 February 2017
Published in: Acta Universitatis Sapientiae. Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/ausm-2016-0013
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J60: Diffusion processes
91G10: Portfolio theory