Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
arbitrage.
JEL Classiflcation: G10, G12, G13.
Keywords: Long-dated claims; risk-neutral pricing; real-world pricing;
arbitrage … measure, claims on the index can be priced by
computing expectations under the real-world probability measure, when the
index …
under the real-world probability measure P, as a solution to the stochastic
difierential equation (SDE)
dSt = ¡r(t)+ 2(t …