Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]
standard (martingale) machin-
ery of arbitrage theory, we prove formally that the arbitrage free value of
the swap is exactly … speci c assumptions,
found a result close to zero using numerical methods.
References
[1] Bj¨ork T. (1999). Arbitrage Theory …. (1981). Martingales and Stochastic Integrals in
the Theory of Continuous Trading. Stochastic Processes & Applications 11 …