Continuous Time Models

Part of the Universitext book series (UTX)


In this chapter, we extend the results obtained in discrete time markets to a continuous time setting. We work with Itô semimartingale models in which the risky assets are modeled as a diffusion driven by a Brownian motion. Note however that most of the results presented below remain true in much more general setting, see e.g. [23] and [24]. The most technical results will be stated without proofs.


Risky Asset American Option Martingale Measure Predictable Process Barrier Option 
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Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  1. 1.Université Paris DauphineParisFrance
  2. 2.Université Paris DiderotParisFrance

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