On volatility of prices in arbitrage-free markets

DOI10.1007/BF01211785zbMath0836.90031OpenAlexW2014431221MaRDI QIDQ1904628

Ayman Hindy

Publication date: 2 May 1996

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01211785

zbMATH Keywords

stochastic derivativesarbitrage-free securities marketcross sectional variations in price volatility

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Cites Work

• Information structure and equilibrium asset prices
• Martingales and arbitrage in multiperiod securities markets
• Random differential inequalities
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Functionals of diffusion processes as stochastic integrals
• On the integral representation of functionals of ltd processest
• Functionals of Itô Processes as Stochastic Integrals
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