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Dynamic Models in Discrete Time

Chapter
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Part of the Springer Finance book series (FINANCE)

Abstract

To make it easier to approach to continuous-time models, we present here a dynamic model in discrete time and with a finite horizon. This allows us specify such concepts as self-financing, arbitrage and complete markets, and to show how martingales, though not part of the initial data of the model, can be used to give the problem a pleasing form.

Keywords

Probability Measure Conditional Expectation Martingale Measure Discount Price Arbitrage Opportunity 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2007

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