Incomplete Markets

Robert Jarrow ()

Chapter Chapter 8 in Continuous-Time Asset Pricing Theory, 2021, pp 161-166 from Springer

Abstract: Abstract This chapter studies the arbitrage-free pricing of derivatives in an incomplete market satisfying NFLVR. This chapter is a modest generalization of the presentation contained in Pham (Continuous time Stochastic Control and Optimization with Financial Applications (Springer, Berlin, 2009)) to discontinuous risky asset price processes.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-74410-6_8

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DOI: 10.1007/978-3-030-74410-6_8

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