Derivative pricing methodology in continuous-time models

被引：1

作者：

Capinski, Marek ^{[1
]}

Kopp, Ekkehard ^{[1
]}

机构：

[1] AGH Univ Sci & Technol, Fac Appl Math, PL-30059 Krakow, Poland

来源：

APPLIED MATHEMATICS LETTERS | 2012年 / 25卷 / 12期

关键词：

Arbitrage; Derivative pricing; Extended market;

D O I：

10.1016/j.aml.2012.05.011

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We show that the fundamental methodology (and practice) of evaluation of derivative securities in continuous-time models is consistent with discrete-time theory, in which a derivative price is based on the principle that adding this security to the market does not create a violation of the basic economic principle: no riskless profit with zero investment. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：2137 / 2139

页数：3

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