Title of article :
Conditional Full Support and No Arbitrage
Author/Authors :
Dani ، Soumia - Tahar Moulay University , Kandouci ، Abdeldjebbar - Tahar Moulay University
Abstract :
In this paper we establish conditions that imply the conditional full support (CFS) property, introduced by Guasoni et al. (2008). for two processes the Ornstein Uhlenbeck, Stochastic integral in which the Brownian Bridge is the integrator and build the absence of arbitrage opportunities without calculating the risk-neutral probability.
Keywords :
Conditional full support , Ornstein Uhlenbeck process , The absence of arbitrage opportunities , Brownian Bridge
Journal title :
General Mathematics Notes
Journal title :
General Mathematics Notes
