Non-Arbitrage Models of Financial Markets
random process; spot set of measures; optional doob decomposition; supermartingale; martingale
Abstract
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 asset 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.
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2021-12-06
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