A stochastic calculus model of continuous trading: Complete markets
نویسندگان
چکیده
منابع مشابه
A Stochastic Calculus Model of Continuous Trading: Complete Markets
A pappr by the same authors in the 1981 volume of Stochastic Processes artd Their Applications presented a general model, based on martingales and stochastic integrals, for the economic problem of investing in a portfolio of securities. In particular, and using the terminology developed therein, that paper stated that every integrable contingent claim is attainable (i.e., the model is complete)...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1983
ISSN: 0304-4149
DOI: 10.1016/0304-4149(83)90038-8