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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Multidimensional Models: Martingale Approach

Multidimensional Models: Martingale Approach

(p.192) 14 Multidimensional Models: Martingale Approach
Arbitrage Theory in Continuous Time

Tomas Björk (Contributor Webpage)

Oxford University Press

This chapter analyses a multidimensional model using the martingale machinery of Chapter 10. This model is more general than the one used in the previous chapter to obtain more general results, and enhance the understanding of the pricing and hedging problems for Wiener driven models. A self-contained proof of the Second Fundamental Theorem is presented. A practice exercise is included.

Keywords:   martingale approach, multidimensional model, arbitrage, completeness, pricing, Second Fundamental Theorem, risk

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