Arbitrage pricing with incomplete markets

DOI10.1080/13504869600000016zbMath1097.91519OpenAlexW2064330244MaRDI QIDQ4541536

Anthony Neuberger, Mark Britten-Jones

Publication date: 4 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504869600000016

Mathematics Subject Classification ID

Related Items (8)

No-arbitrage symmetries ⋮ Unnamed Item ⋮ On stablecoin price processes and arbitrage ⋮ The Black-Scholes paper: a personal perspective ⋮ Arbitrage and hedging in a non probabilistic framework ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ Unnamed Item ⋮ Unnamed Item

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Dynamic spanning without probabilities
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Option pricing: A simplified approach

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