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Review of major results of Martingale theory applied to the valuation of contingent claims
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Review of major results of Martingale theory applied to the valuation of contingent claims
Review of major results of Martingale theory applied to the valuation of contingent claims |
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| Creator |
Neto, Cícero Augusto Vieira; Head of the Risk Administration Department, BM&F, Ph.D Universidade de São Paulo (USP) School of Economics
Pereira, Pedro L. Valls; Professor, Ibmec Business School, Ph.D London School of Economics |
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| Subject |
Martingale; Valuation of Contingent Claims.
G13 Martingale; Valuation of Contingent Claims. G13 |
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| Description |
This article condenses the theory for the valuation of contingent claims in complete and arbitrage-free markets by means of martingales The main focus is centered on markets in which it is possible to negotiate at any time; that is, markets whose history takes place at a continuous time.
Este artigo condensa a teoria de avaliação de títulos contingentes em mercados completos e livres de arbitragem por meio de martingais. Tocla a atenção está voltada para mercados onde é possível negociar em qualquer instante do tempo, isto é, mercados cuja história se desenvolve em tempo contínuo. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2001-11-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2755
10.12660/bre.v21n22001.2755 |
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| Source |
Brazilian Review of Econometrics; Vol 21, No 2 (2001); 355-383
Brazilian Review of Econometrics; Vol 21, No 2 (2001); 355-383 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2755/1689
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