Geodesic
Elementary stochastic calculus for finance with infinitesimals
Commentationes Mathematicae Universitatis Carolinae, Tome 58 (2017) no. 1, pp. 101-124.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps.
DOI : 10.14712/1213-7243.2015.192
Classification : 60H05, 60J65
Keywords: equivalent martingale measure; option pricing; stochastic processes; non-standard analysis 
@article{10_14712_1213_7243_2015_192,
     author = {Witzany, Ji\v{r}{\'\i}},
     title = {Elementary stochastic calculus for finance with infinitesimals},
     journal = {Commentationes Mathematicae Universitatis Carolinae},
     pages = {101--124},
     publisher = {mathdoc},
     volume = {58},
     number = {1},
     year = {2017},
     doi = {10.14712/1213-7243.2015.192},
     mrnumber = {3631684},
     zbl = {06736747},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14712/1213-7243.2015.192/}
}
TY  - JOUR
AU  - Witzany, Jiří
TI  - Elementary stochastic calculus for finance with infinitesimals
JO  - Commentationes Mathematicae Universitatis Carolinae
PY  - 2017
SP  - 101
EP  - 124
VL  - 58
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14712/1213-7243.2015.192/
DO  - 10.14712/1213-7243.2015.192
LA  - en
ID  - 10_14712_1213_7243_2015_192
ER  - 
%0 Journal Article
%A Witzany, Jiří
%T Elementary stochastic calculus for finance with infinitesimals
%J Commentationes Mathematicae Universitatis Carolinae
%D 2017
%P 101-124
%V 58
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14712/1213-7243.2015.192/
%R 10.14712/1213-7243.2015.192
%G en
%F 10_14712_1213_7243_2015_192
Witzany, Jiří. Elementary stochastic calculus for finance with infinitesimals. Commentationes Mathematicae Universitatis Carolinae, Tome 58 (2017) no. 1, pp. 101-124. doi : 10.14712/1213-7243.2015.192. http://geodesic.mathdoc.fr/articles/10.14712/1213-7243.2015.192/

Cité par Sources :