Mean-reverting market model: Novikov condition, speculative opportunities, and non-arbitrage ∗ Nikolai Dokuchaev - Diffusion process - Document - PDFSEARCH.IO

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	Mean-reverting market model: Novikov condition, speculative opportunities, and non-arbitrage ∗ Nikolai Dokuchaev Add to Reading List Document Date: 2007-03-21 16:16:52 Open Document File Size: 202,18 KB Share Result on Facebook Company Cox / / IndustryTerm mathematical finance / expected utilities / bank account / / Organization European Union / / Person Theorem / / Position Rt / mean-reverting model for the stock prices / mean-reverting model / mean-reverting market model / the self-financing strategy / / SocialTag Stochastic differential equations Mathematical finance Normal distribution Wiener process Ornstein–Uhlenbeck process Risk-neutral measure Martingale Itō diffusion Heat equation Statistics

Mean-reverting market model: Novikov condition, speculative opportunities, and non-arbitrage ∗ Nikolai DokuchaevAdd to Reading List