A More General Valuation and Arbitrage Theory for Itô Processes

DOI10.1080/07362990802128610zbMath1154.91028OpenAlexW1989666102MaRDI QIDQ3518306

Jaime A. Londoño

Publication date: 7 August 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802128610

zbMATH Keywords

arbitragestochastic flowstamenesspricing of contingent claimscontinuous-time financial markets

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach ⋮ Duesenberry Equilibrium and Heterogenous Agents ⋮ State-dependent utilities and incomplete markets ⋮ State-Dependent Utility

Cites Work

• The stable manifold theorem for stochastic differential equations
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