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http://hdl.handle.net/20.500.12188/20110| Title: | Semimartingale theory and Complete Markets | Authors: | Tojtovska, Biljana | Keywords: | Semimartingales, complete market, unique martingale measure, Girsanov theorem, Black-Scholes model | Issue Date: | 2011 | Publisher: | Institute of Informatics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University in Skopje, Macedonia | Conference: | CIIT 2011 | 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. | URI: | http://hdl.handle.net/20.500.12188/20110 |
| Appears in Collections: | Faculty of Computer Science and Engineering: Conference papers |
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| 8CiiT-22.pdf | 112 kB | Adobe PDF | View/Open |
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