<abstract xmlns="http://www.w3.org/1999/xhtml"><p>In this paper, we establish the property of conditional full support for two processes: the Ornstein Uhlenbeck and the stochastic integral in which the Brownian Bridge is the integrator and we build the absence of arbitrage opportunities without calculating the risk-neutral probability.</p></abstract>

In this paper, we establish the property of conditional full support for two processes: the Ornstein Uhlenbeck and the stochastic integral in which the Brownian Bridge is the integrator and we build the absence of arbitrage opportunities without calculating the risk-neutral probability.

A study of the absence of arbitrage opportunities without calculating the risk-neutral probability

Laboratory of Stochastic Models, Statistic and Applications, Tahar Moulay University,

Acta Universitatis Sapientiae, Mathematica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

In this paper, we establish the property of conditional full support for two processes: the Ornstein Uhlenbeck and the stochastic integral in which the...

A study of the absence of arbitrage opportunities without calculating the risk-neutral probability

Online veröffentlicht: 23. Jan. 2017

Seitenbereich: 206 - 221

Eingereicht: 13. Apr. 2016

DOI: https://doi.org/10.1515/ausm-2016-0013

Schlüsselwörter
conditional full support, Ornstein Uhlenbeck process, the absence of arbitrage opportunities

© 2016 S. Dani et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

A study of the absence of arbitrage opportunities without calculating the risk-neutral probability

Online veröffentlicht: 23. Jan. 2017

Seitenbereich: 206 - 221

Eingereicht: 13. Apr. 2016

DOI: https://doi.org/10.1515/ausm-2016-0013

Schlüsselwörterconditional full support, Ornstein Uhlenbeck process, the absence of arbitrage opportunities

© 2016 S. Dani et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Schlüsselwörter
conditional full support, Ornstein Uhlenbeck process, the absence of arbitrage opportunities