FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET-Reference-Cited by-同舟云学术

FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET

Published:2017-12 Issue:08 Volume:20 Page:1750054
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

RACHEV SVETLOZAR T.¹,STOYANOV STOYAN V.²,FABOZZI FRANK J.³

Affiliation:

1. Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409, USA

2. College of Business, Stony Brook University, Stony Brook, NY 11794, USA

3. EDHEC Business School, 393, Promenade des Anglais, BP3116, 06202 Nice Cedex 3, France

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024917500546

Reference24 articles.

1. Existence Theorems in the Capital Asset Pricing Model

2. Safe asset shortages and asset price bubbles

3. Stochastic Calculus for Fractional Brownian Motion and Applications

4. Capital Market Equilibrium with Restricted Borrowing

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