A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
e | 23 gen 2017
INFORMAZIONI SU QUESTO ARTICOLO
Pubblicato online: 23 gen 2017
Pagine: 206 - 221
Ricevuto: 13 apr 2016
DOI: https://doi.org/10.1515/ausm-2016-0013
Parole chiave
© 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.