Open AccessNon-Arbitrage Models of Financial Markets
Author(s) -
N. S. Gonchar
Publication year - 2021
Publication title -
global journal of science frontier research
Language(s) - English
Resource type - Journals
eISSN - 2249-4626
pISSN - 0975-5896
DOI - 10.34257/gjsfravol21is4pg67
Subject(s) - martingale (probability theory) , arbitrage , financial market , measure (data warehouse) , martingale pricing , economics , financial modeling , mark to model , econometrics , local martingale , financial economics , finance , mathematics , market depth , computer science , stock market , paleontology , horse , database , biology
In the first part of the paper, we construct the models of the complete non-arbitrage financial markets for a wide class of evolutions of risky assets.This construction is based on the observation that for a certain class of risky as set evolutions the martingale measure is invariant with respect to these evolutions. For such a financial market model the only martingale measure being equivalent to an initial measure is built. On such a financial market,formulas for the fair price of contingent liabilities are presented. A multi-parameter model of the financial market is proposed, the martingale measure of which does not depend on the parameters of the model of the evolution of risky assets and is the only one.