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Martingales and arbitrage in multiperiod securities markets. (English) Zbl 0431.90019
From the introduction: We consider some foundational issues that arise in conjunction with the arbitrage theory of option pricing. In this theory, initiated by Black and Scholes, one takes as given the price dynamics of certain securities (such as stocks and bonds). From these, one tries to determine the prices of other contingent claims (such as options written on a stock) through arbitrage considerations alone. That is, one seeks to show that there exists a single price for a specified contingent claim which, together with the given securities prices, will not permit arbitrage profits.

MSC:
91G20 Derivative securities (option pricing, hedging, etc.)
91B26 Auctions, bargaining, bidding and selling, and other market models
60B05 Probability measures on topological spaces
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