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arxiv: 1612.02112 · v1 · pith:O6MFWNVSnew · submitted 2016-12-07 · 💱 q-fin.MF

Financial market with no riskless (safe) asset

classification 💱 q-fin.MF
keywords assetdiffusionsmarketmarketsrisklesssafearbitrageassets
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We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii) jump-diffusions; (iii) diffusions with stochastic volatilities, and; (iv) geometric fractional Brownian and Rosenblatt motions. No arbitrage and market completeness conditions are derived in all four cases.

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