A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
In this paper, we establish the property of conditional full support for two processes: the Ornstein Uhlenbeck and the stochastic integral in which the Brownian Bridge is the integrator and we build the absence of arbitrage opportunities without calculating the risk-neutral probability.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2016-12-01
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| Series: | Acta Universitatis Sapientiae: Mathematica |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/ausm-2016-0013 |