JMF  Vol.4 No.2 , February 2014
On Local Times: Application to Pricing Using Bid-Ask
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.
Cite this paper: P. Kettler, O. Menoukeu-Pamen and F. Proske, "On Local Times: Application to Pricing Using Bid-Ask," Journal of Mathematical Finance, Vol. 4 No. 2, 2014, pp. 84-94. doi: 10.4236/jmf.2014.42008.

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