Faculty Advisor

Sayit, Hasanjan

Abstract

We consider a financial market with one continuous time risky price process and one continuous time risk-free price process. We assume all the trading takes place at finitely many time points in this market. We provide necessary and suffcient conditions on the discounted price process so that the market does not admit arbitrage possibilities.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2008

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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