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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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The Martingale Approach to Arbitrage Theory

The Martingale Approach to Arbitrage Theory

Chapter:
(p.133) 10 The Martingale Approach to Arbitrage Theory
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0010

This chapter analyses a market model made up of N + 1 a priori given asset price processes S0, S1, ..., SN. Typically, the model is specified by giving the dynamics of the asset price processes under the objective probability measure P. The main problems are: Under what conditions is the market arbitrage free? Under what conditions is the market complete? These problems are addressed using the “martingale approach” to financial derivatives.

Keywords:   financial derivatives, martingale approach, asset price, arbitrage pricing

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