Risk-neutral valuation with infinitely many trading dates

DOI10.1016/J.MCM.2006.11.002zbMath1140.91036OpenAlexW2024184476MaRDI QIDQ2471590

Raquel Balbás, Silvia Mayoral, Alejandro Balbas

Publication date: 22 February 2008

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/13981

zbMATH Keywords

asset pricingmartingale measureSharpe ratioLyapunov theorem

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Cites Work

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