The multivariate Black & Scholes market: conditions for completeness and no-arbitrage
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Publication:2923401
DOI10.1090/S0094-9000-2014-00920-5zbMath1304.91215MaRDI QIDQ2923401
Jan Dhaene, Daniël Linders, Alexander G. Kukush
Publication date: 15 October 2014
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Brownian motioncompletenessBlack and Scholes modelarbitrage-free marketrisk-neutral probability measuremultivariate asset price model
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Related Items (4)
On the (in-)dependence between financial and actuarial risks ⋮ A framework for robust measurement of implied correlation ⋮ Default probabilities of a holding company, with complete and partial information ⋮ American-type basket option pricing: a simple two-dimensional partial differential equation
Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingale methods in financial modelling.
- The concept of comonotonicity in actuarial science and finance: applications.
- Pricing of arithmetic basket options by conditioning.
- The mathematics of arbitrage
- Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
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