Non-Arbitrage Models of Financial Markets

Non-Arbitrage Models of Financial Markets

Nicholas Simon Gonchar

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Gonchar Nicholas

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National Academy of Sciences of Ukraine

Non-Arbitrage Models of Financial Markets

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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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31 Cites in Article

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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How to Cite This Article

Nicholas Simon Gonchar. 2021. \u201cNon-Arbitrage Models of Financial Markets\u201d. Global Journal of Science Frontier Research - A: Physics & Space Science GJSFR-A Volume 21 (GJSFR Volume 21 Issue A4).

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GJSFR Volume 21 Issue A4

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Crossref Journal DOI 10.17406/GJSFR

Print ISSN 0975-5896

e-ISSN 2249-4626

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GJSFR-A Classification FOR Code: 240201

Submission ReceivedSeptember 20, 2021
Peer Review Double Blind
Handling Editor
Accepted October 12, 2021
Published October 25, 2021

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December 6, 2021

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