Abstract
This chapter studies the arbitrage-free pricing of derivatives in an incomplete market satisfying NFLVR. This chapter is a modest generalization of the presentation contained in Pham (Continuous time stochastic control and optimization with financial applications. Springer, Berlin, 2009) to discontinuous risky asset price processes.
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References
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Jarrow, R.A. (2018). Incomplete Markets. In: Continuous-Time Asset Pricing Theory. Springer Finance(). Springer, Cham. https://doi.org/10.1007/978-3-319-77821-1_8
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DOI: https://doi.org/10.1007/978-3-319-77821-1_8
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Online ISBN: 978-3-319-77821-1
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