A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
y | 23 ene 2017
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Publicado en línea: 23 ene 2017
Páginas: 206 - 221
Recibido: 13 abr 2016
DOI: https://doi.org/10.1515/ausm-2016-0013
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© 2016 S. Dani et al., published by De Gruyter Open
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 Brownian Bridge is the integrator and we build the absence of arbitrage opportunities without calculating the risk-neutral probability.