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Special double issue: Computational aspects of complex securities

Selby, Michael J. P. (contributor) - 2000

Persistent link: https://www.econbiz.de/10001507322

Computational Aspects of Complex Securities

Selby, Michael J. P. - In: Journal of Economic Dynamics and Control 24 (2000) 11-12, pp. 1491-1497

Persistent link: https://www.econbiz.de/10005229646

Pricing by arbitrage under arbitrary information

Babbs, Simon H. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 163-168

Persistent link: https://www.econbiz.de/10001242836

Pricing by Arbitrage under Arbitrary Information

Babbs, Simon H.; Selby, Michael J.P. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 163

Persistent link: https://www.econbiz.de/10008219269

Pricing by Arbitrage Under Arbitrary Information

Babbs, Simon H.; Selby, Michael J. P. - In: Mathematical Finance 8 (1998) 2, pp. 163-168

A substantial applications literature on pricing by arbitrage has effectively restricted information to that arising solely from securities markets; return distributions are then governed solely by past prices. We reconsider pricing by arbitrage in markets rendered incomplete by arbitrary...

Persistent link: https://www.econbiz.de/10008609888