Journal of Mathematical Finance
Volume 4, Issue 2 (February 2014)
ISSN Print: 2162-2434 ISSN Online: 2162-2442
Google-based Impact Factor: 0.87 Citations h5-index & Ranking
On Local Times: Application to Pricing Using Bid-Ask ()
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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.
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