6 search results - page 1 / 2 » On Computation of Arbitrage for Markets with Friction |
AAIM
2005
Springer
13 years 10 months ago
2005
Springer
Abstract. In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of f...
COCOON
2000
Springer
13 years 9 months ago
2000
Springer
SIAMFM
2011
12 years 7 months ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
Lecture Notes
"These lecture notes treat various versions of the so-called “fundamental theorem
of asset pricing”. Many students are familiar with statements about models for
financia...
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...