Ansgar Steland
Abstract
This chapter contains sections titled: Definitions and preliminaries Linear pricing measures More on arbitrage Separation theorems in Rn No-arbitrage and martingale measures Arbitrage-free pricing of contingent claims Construction of martingale measures: general case Complete financial markets Notes and further reading References
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This chapter contains sections titled: Definitions and preliminaries Linear pricing measures More on arbitrage Separation theorems in Rn No-arbitrage and martingale measures Arbitrage-free pricing of contingent claims Construction of martingale measures: general case Complete financial markets Notes and further reading References
Key concepts: Arbitrage, Martingale (probability theory), Arbitrage pricing theory, Index arbitrage, Martingale pricing, Economics, Mathematical economics, Econometrics