| dc.date.accessioned | 2013-11-21T11:56:21Z | |
| dc.date.available | 2013-11-21T11:56:21Z | |
| dc.date.issued | 2009 | en_US |
| dc.date.submitted | 2009-11-02 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10464 | |
| dc.description.abstract | In this paper, we derive the evolution of a stock price from the dynamics of the "best bid" and "best ask". Under the assumption that the bid and ask prices are described by semimartingales, we study the completeness and the possibility for arbitrage on such a market. Further, we discuss (insider) hedging for contingent claims with respect to the stock price process. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2009). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | ON LOCAL TIMES: APPLICATION TO PRICING USING BID-ASK | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2013-11-15 | en_US |
| dc.rights.holder | Copyright 2009 The Author(s) | |
| dc.creator.author | Kettler, Paul C. | en_US |
| dc.creator.author | Proske, Frank | en_US |
| dc.creator.author | Menoukeu Pamen, Olivier | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23393 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96293 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10464/1/pm13-09.pdf | |