Absence of arbitrage revisited


The classic Black-Scholes model on an infinite horizon does not admit an equivalent martingale measure unless we already start with a martingale model. So it does not satisfy NFLVR. But in which sense is it still possibly... [ view full abstract ]


  1. Martin Schweizer (ETH Zurich)
  2. Daniel Balint (ETH Zurich)

Topic Areas

Arbitrage Theory , Stochastic Analysis


TU-A-BU » Arbitrage Theory (11:30 - Tuesday, 17th July, Burke Theater)

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