A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
et | 23 janv. 2017
À propos de cet article
Publié en ligne: 23 janv. 2017
Pages: 206 - 221
Reçu: 13 avr. 2016
DOI: https://doi.org/10.1515/ausm-2016-0013
Mots clés
© 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.