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Showing 1 to 3 of 3 for “"equivalent Martingale measure"”.
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
… to value contingent claims any more. Each equivalent martingale measure yields a possible price. Therefore additional criteria have to be imposed for derivative pricing. One approach is to consider the martingale measure wich minimizes a certain distance. One result of this thesis is the …
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Derivative pricing with options.
… under which the discounted asset price is a martingale and for which every vanilla option has its price equal to the expected value of its discounted payout. It has been shown by Dupire ([1], [2]) that if we restrict ourselves to diffusions, then the local volatility surface can be determined …
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Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
Levy-Prozesse, das heißt stochastische Prozesse mit unabhängigen <br>und stationären Zuwächsen, stellen eine Verallgemeinerung der <br>Brownschen Bewegung dar. Aufgrund ihrer günstigen analytischen <br>Eigenschaften hat sich die Brownsche Bewegung als Standardmodell <br>für viele Prozesse in der …