We consider a financial market with one continuous time risky price process and one continuous time risk-free price process. We assume all the trading takes place at finitely many time points in this market. We provide necessary and suffcient conditions on the discounted price process so that the market does not admit arbitrage possibilities.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Chase, Tyler Adam
• Tiu, Michael Anonuevo

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-042408-140825

Advisor

• Sayit, Hasanjan

Year

• 2008

Date created

• 2008-04-24

Resource type

• Major Qualifying Project

Major

• Mathematical Sciences

Rights statement

• In Copyright