Currently displaying 1 – 4 of 4

Showing per page

Order by Relevance | Title | Year of publication

Elementary stochastic calculus for finance with infinitesimals

Jiří Witzany — 2017

Commentationes Mathematicae Universitatis Carolinae

The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps.

Page 1

Download Results (CSV)