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Arbitrage Theory in Continuous Time$
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Arbitrage Theory in Continuous Time

Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

Incomplete Markets

Chapter:
(p. 205 ) 15 Incomplete Markets
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0015

This chapter examines derivative pricing in incomplete markets. It focuses on a particular type of incomplete market, namely a “factor model” — a market where there are some nontraded underlying objects. Practice exercises are included.

Keywords:   derivative pricing, incomplete markets, factor model, asset, martingale approach

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