On two recent applications of nonstandard analysis to the theory of financial markets

Frederik S. Herzberg ()
Additional contact information
Frederik S. Herzberg: University of Oxford, Mathematical Institute

Chapter 12 in The Strength of Nonstandard Analysis, 2007, pp 177-188 from Springer

Abstract: Abstract Suitable notions of “unfairness” that measure how far an empirical discounted asset price process is from being a martingale are introduced for complete and incomplete-market settings. Several limit processes are involved each time, prompting a nonstandard approach to the analysis of this concept. This leads to an existence result for a “fairest price measure” (rather than a martingale measure) for an asset that is simultaneously traded on several stock exchanges. This approach also proves useful when describing the impact of a currency transaction tax.

Keywords: Financial Market; Stochastic Differential Equation; Price Process; Martingale Measure; Fair Price (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-211-49905-4_12

Ordering information: This item can be ordered from
http://www.springer.com/9783211499054

DOI: 10.1007/978-3-211-49905-4_12

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().