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From Preferencefree to Preferencedependent Valuations
Existence of Consistent Price Systems
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agents arbitrage associated assumption attainable contingent claims basic securities BLACK/SCHOLES 1973 BLACK/SCHOLES model cadlag Chapter consider consistent price system consumption plan continuous-time selffinancing trading continuous-time trading strategies Corollary cq,X defined denoted discrete-time element equivalent martingale measures European call option Example exercise price exists financing trading strategy gent claims geometric Brownian motion HARRISON/KREPS 1979 hedge approach holds true implies initial investment Ito's lemma Journal of Financial locally bounded martingale with respect MERTON norm option pricing P*-attainable contingent claim Poisson process pricing formula probability measure probability space Radon-Nikodym derivative random variable Section securities market model security price process selffinancing trading strategies semimartingale sequence set of trading signed martingale measure simple selffinancing trading simple trading strategy simply attainable contingent square integrable stochastic integral stochastic process strongly orthogonal Theorem tingale tion trading dates valuation of contingent value process yields zero