Elementary stochastic calculus for finance with infinitesimals
Jiří Witzany (2017)
Commentationes Mathematicae Universitatis Carolinae
Similarity:
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.