| Title:
|
Elementary stochastic calculus for finance with infinitesimals (English) |
| Author:
|
Witzany, Jiří |
| Language:
|
English |
| Journal:
|
Commentationes Mathematicae Universitatis Carolinae |
| ISSN:
|
0010-2628 (print) |
| ISSN:
|
1213-7243 (online) |
| Volume:
|
58 |
| Issue:
|
1 |
| Year:
|
2017 |
| Pages:
|
101-124 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps. (English) |
| Keyword:
|
equivalent martingale measure |
| Keyword:
|
option pricing |
| Keyword:
|
stochastic processes |
| Keyword:
|
non-standard analysis |
| MSC:
|
60H05 |
| MSC:
|
60J65 |
| idZBL:
|
Zbl 06736747 |
| idMR:
|
MR3631684 |
| DOI:
|
10.14712/1213-7243.2015.192 |
| . |
| Date available:
|
2017-03-12T16:43:33Z |
| Last updated:
|
2020-01-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/146031 |
| . |
| Reference:
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