A model of financial market with several interacting assets. Complete market case
type: Item
instance of: scholarly article
title: A model of financial market with several interacting assets. Complete market case
zbMATH Open document ID: 1025.91007
author: Victoria Steblovskaya
author: S. Albeverio
published in: Finance and Stochastics
publication date: 2003-10-22T00:00:00Z
review text: A generalization of the multidimensional Black-Scholes financial market model is proposed in which several assets can interact with each other even in the absence of a noise. Sufficient conditions of the existence of an equivalent martingale measure and non-arbitrage are derived. The completeness of the model and pricing of contingent claims are discussed. The associated stochastic differential equation for the stock prices is solved. The results are applied to the pricing of stock index options.
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1995770
zbMATH Keywords: multidimensional Black-Scholes model
zbMATH Keywords: linear stochastic differential equations with multiplicative noise
zbMATH Keywords: complete market
zbMATH Keywords: pricing of continuous clams
MaRDI profile type: Publication
full work available at URL: s007800100066
OpenAlex ID: W2086703408
DOI: 10.1007/S007800100066
description: scientific article; zbMATH DE number 1995770