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- W83758440 abstract "Consider a model of a financial market in which securities of two types, risky and riskless, are circulated. For the risky one we can take an ordinary stock, say, shares of IBM. A call bank deposit with a fixed interest rate can serve as a typical example of a nonrisky security. Assume that the price evolution of the risky security is a stochastic process s(t), 0 ≤ t ≤ T . As for the price of the riskless security, it evolves nonrandomly and its evolution b(t) is given by the formula b(t) = e−rt, where r ≥ 0, called a short rate, is constant. The most popular continuous time model is that in which" @default.
- W83758440 created "2016-06-24" @default.
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- W83758440 date "2002-01-01" @default.
- W83758440 modified "2023-10-14" @default.
- W83758440 cites W2146612430 @default.
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- W83758440 doi "https://doi.org/10.1023/a:1016103719692" @default.
- W83758440 hasPublicationYear "2002" @default.
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