Review of major results of Martingale theory applied to the valuation of contingent claims

Authors

  • Cícero Augusto Vieira Neto Head of the Risk Administration Department, BM&F, Ph.D Universidade de São Paulo (USP) School of Economics
  • Pedro L. Valls Pereira Professor, Ibmec Business School, Ph.D London School of Economics

DOI:

https://doi.org/10.12660/bre.v21n22001.2755

Keywords:

Martingale, Valuation of Contingent Claims.

Abstract

This article condenses the theory for the valuation of contingent claims in complete and arbitrage-free markets by means of martingales The main focus is centered on markets in which it is possible to negotiate at any time; that is, markets whose history takes place at a continuous time.

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Published

2001-11-02

Issue

Vol. 21 No. 2 (2001)

Section

Articles