Pricing measures, forward measures and semigroups

In a Markovian setting, we introduce a class of pricing measures and forward measures. Using multiplicative perturbation theory of Markovian semigroups, we study the relationship between the pricing semigroup and the forward semigroup, and obtain the forward semigroup pricing method. Furthermore, we investigate the derivatives pricing associated with the spot and forward generators.

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Year of publication:	2009
Authors:	Zhou, Jinke ; Wang, Xiaolu
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 4, p. 411-416
Publisher:	Taylor & Francis Journals
Subject:	Arbitrage pricing \| Derivatives pricing \| Markov processes \| Jump-diffusion processes

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966879