Showing 1 - 4 of 4
In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide...
Persistent link: https://www.econbiz.de/10008521904
Persistent link: https://www.econbiz.de/10005023791
Persistent link: https://www.econbiz.de/10005023802
Persistent link: https://www.econbiz.de/10005655269