کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4668987 | 1633900 | 2011 | 42 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On stochastic calculus related to financial assets without semimartingales
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On stochastic calculus related to financial assets without semimartingales On stochastic calculus related to financial assets without semimartingales](/preview/png/4668987.png)
چکیده انگلیسی
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class A of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of A-martingale. A calculus related to A-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender–Sottinen–Valkeila type.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Bulletin des Sciences Mathématiques - Volume 135, Issues 6–7, September–November 2011, Pages 733-774
Journal: Bulletin des Sciences Mathématiques - Volume 135, Issues 6–7, September–November 2011, Pages 733-774