Chapter

Incomplete Markets

Tomas Björk

in Arbitrage Theory in Continuous Time

Second edition

Published in print March 2004 | ISBN: 9780199271269
Published online October 2005 | e-ISBN: 9780191602849 | DOI: http://dx.doi.org/10.1093/0199271267.003.0015

Series: Oxford Finance Series

Incomplete Markets

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This chapter examines derivative pricing in incomplete markets. It focuses on a particular type of incomplete market, namely a “factor model” — a market where there are some nontraded underlying objects. Practice exercises are included.

Keywords: derivative pricing; incomplete markets; factor model; asset; martingale approach

Chapter.  8696 words. 

Subjects: Financial Markets

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