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Absence of Arbitrage

In: Hypermodels In Mathematical Finance Modelling via Infinitesimal Analysis

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  • Siu-Ah Ng

    (School of Mathematical, Stats & IT, University Natal-Pietermaritzburg, South Africa)

Abstract

The following sections are included:IntroductionAbsence of arbitrage and the binary tree hypermodelA mini-modelBinary tree modelBinary tree hypermodelFiniteness of stock pricesRisk-neutral measure for binary tree hypermodelBlack-Scholes type PDE from virtually arbitrage-freeVirtually arbitrage free

Suggested Citation

  • Siu-Ah Ng, 2003. "Absence of Arbitrage," World Scientific Book Chapters, in: Hypermodels In Mathematical Finance Modelling via Infinitesimal Analysis, chapter 3, pages 39-58, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812564528_0003
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