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On the existence and characterization of arbitrage–free measure in contingent claim valuation

 

作者: Norbert Christopeit,   Marek Musiela,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1994）
卷期: Volume 12, issue 1  

页码: 41-63

 

ISSN:0736-2994

 

年代: 1994

 

DOI:10.1080/07362999408809337

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper, necessary and sufficient conditions for existence of equivalent martiangles measures in semimartingale models for the pricing of contingent claims are derived

 

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