Semimartingale theory and Complete Markets

Tojtovska, Biljana (2011) Semimartingale theory and Complete Markets. In: Proceedings of the Eighth Conference on Informatics and Information Technology. Institute of Informatics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University in Skopje, Macedonia, Skopje, Macedonia, pp. 101-103. ISBN 978-9989-668-90-6

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Abstract

We are interested in the application of the semimartingale theory in the complete market model consisting of two traded assets. Through the Girsanov theorem the unique martingale measure can be found and the replicating strategy can be constructed. This is discussed on the Black-Scholed market Model.

Item Type: Book Section
Uncontrolled Keywords: Semimartingales, complete market, unique martingale measure, Girsanov theorem, Black-Scholes model
Subjects: International Conference on Informatics and Information Technologies > Optimization
International Conference on Informatics and Information Technologies > Signal Processing
Depositing User: Vangel Ajanovski
Date Deposited: 28 Oct 2016 00:15
Last Modified: 28 Oct 2016 00:15
URI: http://eprints.finki.ukim.mk/id/eprint/11050

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