Journal of applied mathematics & informatics

  • 제8권3호
  • /
  • Pages.1001-1007
  • /
  • 2001
  • /
  • 2734-1194(pISSN)
  • /
  • 2234-8417(eISSN)
한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
권호 표지

ON THE ARBITRAGE PORTFOLIOS OF MARKET MODEL WITH CUMULATIVE ENDOWMENT

  • Choi, Won (Department of Mathematics, University of Incheon) ;
  • Ryu, In-Sang (Department of Mathematics, Sung Kyun Kwan University) ;
  • Shin, V.I. (Institute of Problems and informatics, Russian Academy of Sciences)
  • 발행 : 2001.09.01

⟨ 이전 논문 다음 논문 ⟩

초록

In this paper, we show the existence of securities protfolio in security model with influx and find the non-arbitrage class of protfolios.

키워드

참고문헌

  1. The Random Character of Stock Market Prices Theory of speculation L.Bachelier;P.H.Cootner(ed.)
  2. J. Polit. Econom. v.81 The pricing of options and corporate liabilities F.Black;M.Scholes
  3. CRM Monograph Series Lectures on the mathematics of finance I.Karatzas
  4. J. Control Optim v.27 Optimization problems in the theory of continuous trading I.Karatzas
  5. Statistics of random processes R.S.Liptser;A.N.Shiryaev
  6. Ind. Management Rev. v.6 Rational theory of warrant pricing P.A.Samuelson