The Analysis of VAR, Deltas and State Prices: A New Approach.

We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a counterpart to Girsanov's Theorem.

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Year of publication:	1996
Authors:	Grundy, B.D. ; Wiener, Z.
Institutions:	Rodney L. White Center for Financial Research, Wharton School of Business
Subject:	FINANCIAL MARKET \| ECONOMETRICS \| MATHEMATICS \| PRICES \| GOVERNMENT

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Series:	Rodney L. White Center for Financial Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	34 pages
Classification:	C60 - Mathematical Methods and Programming. General ; C63 - Computational Techniques ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245203