The Markov chain market

We consider a financial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for some cases.

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Year of publication:	2003-11-01
Authors:	Norberg, Ragnar
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol.33, No.2, 2003, pp.265-287

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Extent:	480256 bytes 23 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847006