FINANCIAL MARKETS with NO RISKLESS (SAFE) ASSET

Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi

Research output: Contribution to journalArticle

Abstract

We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii) jump-diffusions; (iii) diffusions with stochastic volatilities, and; (iv) geometric fractional Brownian and Rosenblatt motions. No-arbitrage and market-completeness conditions are derived in all four cases.

Original languageEnglish
Article number1750054
JournalInternational Journal of Theoretical and Applied Finance
Volume20
Issue number8
DOIs
StatePublished - Dec 1 2017

Keywords

  • Black-Scholes model
  • Riskless asset
  • fractional Brownian motion
  • jump-diffusion model
  • stochastic volatility model

Fingerprint Dive into the research topics of 'FINANCIAL MARKETS with NO RISKLESS (SAFE) ASSET'. Together they form a unique fingerprint.

  • Cite this