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Pricing by Arbitrage Under Arbitrary Information - MaRDI portal

Pricing by Arbitrage Under Arbitrary Information

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Publication:4213038

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DOI10.1111/1467-9965.00050zbMath0910.90006OpenAlexW2037247292MaRDI QIDQ4213038

M. J. P. Selby, Simon H. Babbs

Publication date: 7 October 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00050

zbMATH Keywords

incomplete markets contingent claims pricing by arbitrage information filtration

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44)

Related Items (2)

A Markov regime-switching marked point process for short-rate analysis with credit risk ⋮ Valuation and martingale properties of shadow prices: an exposition

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