IDEAS home Printed from https://ideas.repec.org/p/arx/papers/math-0509139.html
   My bibliography  Save this paper

Dynamic State Tameness

Author

Listed:
  • Jaime A. Londo~no

Abstract

An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the augmentation by a shadow stock of the price evolution has a Markovian character. As in a previous paper, the results obtained on valuation of European contingent claims and American contingent claims do not require the full range of the volatility matrix. Under some additional continuity conditions, the conceptual framework provided by the model makes it possible to regard the valuation of financial instruments of the European type as a particular case of valuation of instruments of American type. This provides a unifying framework for the problem of valuation of financial instruments.

Suggested Citation

  • Jaime A. Londo~no, 2005. "Dynamic State Tameness," Papers math/0509139, arXiv.org.
  • Handle: RePEc:arx:papers:math/0509139
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/math/0509139
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Jaime A. Londoño, 2003. "State Tameness: A New Approach for Credit Constrains," Finance 0305001, University Library of Munich, Germany, revised 16 Feb 2004.
    2. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jaime Londoño, 2005. "Dynamic State Tameness," Finance 0509010, University Library of Munich, Germany, revised 20 Sep 2005.
    2. Jaime A. Londo~no, 2006. "State Dependent Utility," Papers math/0603316, arXiv.org.
    3. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:math/0509139. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.