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No Arbitrage Condition for Positive Diffusion Price Processes

Freddy Delbaen, Hiroshi Shirakawa

Asia-Pacific Financial Markets · 2002 · 71 citations · 1 references

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Concepts

EngineeringEconomicsFinanceFinancial EconomicsPricing TheoryStochastic ProcessesArbitrage PricingBrownian MotionDiffusion ProcessesLévy ProcessesMarkov ProcessesOption PricingArbitrage-free PricingMarkov Diffusion ProcessesNo-arbitrage ConditionsNo-arbitrage RelationshipsNon-stationary Prices

References

1

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Mathematics, Differential Equations +11