Hey where I could find theory of option pricing in incomplete markets? I know that there we have not one price, but interval of arbitrage-free prices and I would like to read more about it and I need some references. Can anyone help?


1 Answer 1


Chapter 15 in Arbitrage Theory in Continuous Time by Tomas Björk.

  • 1
    $\begingroup$ In the third edition the 15th chapter is called Incomplete Markets. $\endgroup$
    – tcpedersen
    Commented Mar 6, 2021 at 10:52

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