کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4623607 1339519 2006 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The fundamental theorem of asset pricing under default and collateral in finite discrete time
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
The fundamental theorem of asset pricing under default and collateral in finite discrete time
چکیده انگلیسی

We consider a financial market where time and uncertainty are modeled by a finite event-tree. The event-tree has a length of N, a unique initial node at the initial date, and a continuum of branches at each node of the tree. Prices and returns of J assets are modeled, respectively, by a R2J×R2J-valued stochastic process . In this framework we prove a version of the Fundamental Theorem of Asset Pricing which applies to defaultable securities backed by exogenous collateral suffering a contingent linear depreciation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 320, Issue 1, 1 August 2006, Pages 425-438