Absence of Arbitrage

Siu-Ah Ng
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Siu-Ah Ng: School of Mathematical, Stats & IT, University Natal-Pietermaritzburg, South Africa

Chapter 3 in Hypermodels in Mathematical Finance:Modelling via Infinitesimal Analysis, 2003, pp 39-58 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionAbsence of arbitrage and the binary tree hypermodelA mini-modelBinary tree modelBinary tree hypermodelFiniteness of stock pricesRisk-neutral measure for binary tree hypermodelBlack-Scholes type PDE from virtually arbitrage-freeVirtually arbitrage free

Date: 2003
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