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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