Self-Financing Trading and the Ito-Doeblin Lemma
Pricing of Securities
2015-01-13 v1 Mathematical Finance
Abstract
The objective of the note is to remind readers on how self-financing works in Quantitative Finance. The authors have observed continuing uncertainty on this issue which may be because it lies exactly at the intersection of stochastic calculus and finance. The concept of a self-financing trading strategy was originally, and carefully, introduced in (Harrison and Kreps 1979) and expanded very generally in (Harrison and Pliska 1981).
Cite
@article{arxiv.1501.02750,
title = {Self-Financing Trading and the Ito-Doeblin Lemma},
author = {Chris Kenyon and Andrew Green},
journal= {arXiv preprint arXiv:1501.02750},
year = {2015}
}
Comments
3 pages