Pricing by arbitrage under arbitrary information
UNSPECIFIED. (1998) Pricing by arbitrage under arbitrary information. MATHEMATICAL FINANCE, 8 (2). pp. 163-168. ISSN 0960-1627Full text not available from this repository.
A substantial applications literature on pricing by arbitrage has effectively restricted information to that arising solely from securities markets; return distributions are then governed solely by past prices. We reconsider pricing by arbitrage in markets rendered incomplete by arbitrary information, which. moreover, map influence required returns. We show that contingent claims depending solely on securities' normalized price histories are pi iced by arbitrage if and only if all risk-adjusted probabilities agree upon the law of primitive securities' normalized prices. We show how existing diffusion-based results can be preserved, and resolve an issue relating to Merton's (1973) stochastic interest late model.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HC Economic History and Conditions
Q Science > QA Mathematics
H Social Sciences
|Journal or Publication Title:||MATHEMATICAL FINANCE|
|Official Date:||April 1998|
|Number of Pages:||6|
|Page Range:||pp. 163-168|
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