Review of major results of Martingale theory applied to the valuation of contingent claims

Cícero Augusto Vieira Neto and Pedro Valls Pereira

Brazilian Review of Econometrics, 2001, vol. 21, issue 2

Abstract: This article condenses the theory for the valuation of contingent claims in complete and arbitrage-free markets by means of martingales The main focus is centered on markets in which it is possible to negotiate at any time; that is, markets whose history takes place at a continuous time.

Date: 2001
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