Arbitrage in continuous complete markets

Advances in Applied Probability

Volumn 34, Issue 3, 2002, Pages 540-558

  Platen, Eckhard ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Arbitrage amount; Contingent claim pricing; Continuous financial market; Forward rate equation; Growth optimal portfolio; Mutual fund theorem; Num raire portfolio

Indexed keywords

FINANCE; MATHEMATICAL MODELS; MATRIX ALGEBRA; OPTIMIZATION; PROBABILITY; RANDOM PROCESSES; RISKS; THEOREM PROVING;

FORWARD RATE EQUATIONS;

PROBLEM SOLVING;

EID: 0036756353     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1033662165     Document Type: Article

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