Drift and the risk-free rate

DOI10.1155/2011/595741zbMath1229.91374OpenAlexW1966785881WikidataQ58692038 ScholiaQ58692038MaRDI QIDQ642444

Juan-Miguel Gracia

Publication date: 26 October 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/595741

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
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