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On Multi-Period Market Extension with the Uniformly Equivalent Martingale Measure

On Multi-Period Market Extension with the Uniformly Equivalent Martingale Measure For a discrete time, a certain abstract version of the Cox–Ross–Rubinstein Market is equipped with a portfolio basis, which secures a certain portfolio stability. Having in mind that the ‘true’ probability measure for the ‘fair’ market should be risk-neutral, it seems natural to condition the market model with the uniformly equivalent Martingale measure, for example, and such a condition is given as a kind of sandwich with the portfolio price; this condition also justifies that the market model admits its complete extension which seems to be important for analysis of possible new enterprizes. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Applicandae Mathematicae Springer Journals

On Multi-Period Market Extension with the Uniformly Equivalent Martingale Measure

Albeverio, S.; Rozanov, Yu.
Acta Applicandae Mathematicae , Volume 67 (3) – Oct 19, 2004
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References (4)

Publisher
Springer Journals
Copyright
Copyright © 2001 by Kluwer Academic Publishers
Subject
Mathematics; Mathematics, general; Computer Science, general; Theoretical, Mathematical and Computational Physics; Complex Systems; Classical Mechanics
ISSN
0167-8019
eISSN
1572-9036
DOI
10.1023/A:1011994115901
Publisher site
See Article on Publisher Site

Abstract

For a discrete time, a certain abstract version of the Cox–Ross–Rubinstein Market is equipped with a portfolio basis, which secures a certain portfolio stability. Having in mind that the ‘true’ probability measure for the ‘fair’ market should be risk-neutral, it seems natural to condition the market model with the uniformly equivalent Martingale measure, for example, and such a condition is given as a kind of sandwich with the portfolio price; this condition also justifies that the market model admits its complete extension which seems to be important for analysis of possible new enterprizes.

Journal

Acta Applicandae Mathematicae – Springer Journals

Published: Oct 19, 2004

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