A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
oraz | 23 sty 2017
O artykule
Data publikacji: 23 sty 2017
Zakres stron: 206 - 221
Otrzymano: 13 kwi 2016
DOI: https://doi.org/10.1515/ausm-2016-0013
Słowa kluczowe
© 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.