| Title | Arbitrage Pricing Systems in a Market Driven by an Itô Process |
| Creator | |
| Date Issued | 2002 |
| Conference Name | The International Conference on Mathematical Finance |
| Source Publication | Recent Developments in Mathematical Finance: Proceedings of the International Conference on Mathematical Finance, Shanghai, China, 10 – 13 May 2001
 |
| Editor | Yong, Jiongmin |
| ISBN | 9789810247973 |
| Pages | 263-271 |
| Conference Date | 10 – 13 May 2001 |
| Conference Place | Shanghai, China |
| Publisher | World Scientific |
| Abstract | A pair of numeraire and equivalent martingale measure is called an arbitrage pricing system. In a security market driven by an Itˆo process, if we take the wealth process of an admissible selffinancing strategy as a numeraire, then there is a natural family of equivalent martingale measures associated with market prices of risk. A subclass of arbitrage pricing systems is identified explicitly by a maximum entropy rationale in the spirit of F¨ollmer, Schweizer and Sondermann. |
| DOI | 10.1142/9789812799579_0022 |
| URL | View source |
| Language | 英语English |
| Citation statistics |
Cited Times [WOS]:0
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| Document Type | Conference paper |
| Identifier | http://repository.uic.edu.cn/handle/39GCC9TT/4829 |
| Collection | Research outside affiliated institution |
| Affiliation | 1.Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, P. R. China 2.Department of Economics and Finance, City University of Hong Kong, Kowloon, Hong Kong |
| Recommended Citation GB/T 7714 | Luo, Shunlong,Yan, Jia-an,Zhang, Qiang. Arbitrage Pricing Systems in a Market Driven by an Itô Process[C]//Yong, Jiongmin: World Scientific, 2002: 263-271. |
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