Arbitrage Values Generally Depend On A Parametric Rate of Return

DOI10.1111/j.1467-9965.1991.tb00015.xzbMath0900.90108OpenAlexW2087665625MaRDI QIDQ4345915

Robin J. Brenner, J. L. Denny

Publication date: 31 August 1997

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00015.x

zbMATH Keywords

semimartingalesarbitrageBlack-Scholes

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Information structures and viable price systems
• On the use of semimartingales and stochastic integrals to model continuous trading
• A short proof of a martingale representation result
• Martingales and stochastic integrals in the theory of continuous trading

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