Arbitrage in continuous complete markets
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Publication:4804607
DOI10.1239/aap/1033662165zbMath1055.91033OpenAlexW2030718044MaRDI QIDQ4804607
Publication date: 2002
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1033662165
numéraire portfoliogrowth optimal portfoliomutual fund theoremcontingent claim pricingarbitrage amountcontinuous financial marketforward rate equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
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