Search Results - subject:"Equivalent martingale measure"

Deep learning for quadratic hedging in incomplete jump market

Agram, Nacira; Øksendal, Bernt K.; Rems, Jan - In: Digital finance : smart data analytics, investment … 6 (2024) 3, pp. 463-499

Persistent link: https://www.econbiz.de/10015078228

Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities

Delong, Łukasz - In: Bank i Kredyt 42 (2011) 1, pp. 49-78

-free pricing principle requires specification of an equivalent martingale measure, we characterize all equivalent martingale …

Persistent link: https://www.econbiz.de/10008922825

A Modern View on Merton's Jump-Diffusion Model

Cheang, Gerald; Chiarella, Carl - Finance Discipline Group, Business School - 2011

measure to an equivalent martingale measure. The choice of parameters in the Radon-Nikodym derivative allows us to price the …

Persistent link: https://www.econbiz.de/10008800576

Finitely Additive Equivalent Martingale Measures

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010

Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...

Persistent link: https://www.econbiz.de/10010335300

Finitely Additive Equivalent Martingale Measures

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - Dipartimento di Scienze Economiche e Aziendali, … - 2010

Persistent link: https://www.econbiz.de/10009651044

Finitely Additive Equivalent Martingale Measures

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010

Persistent link: https://www.econbiz.de/10010343882

Exchange Options Under Jump-Diffusion Dynamics

Cheang, Gerald H. L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

of measure from the market measure to an equivalent martingale measure is introduced. The choice of parameters in the …-Nikod´ym derivative process that induces the change of measure from the market measure to an equivalent martingale measure is introduced … premium. Keywords: American options, exchange options, compound Poisson processes, equivalent martingale measure. JEL …

Persistent link: https://www.econbiz.de/10004984495

Hedge Portfolios in Markets with Price Discontinuities

Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

alternative derivation of the integro-partial difierential equation. Key words: Incomplete markets, Equivalent martingale measure … choice is made. The approach of selecting an equivalent martingale measure based on the selection of suitable parameters in a … (Q;Ft)-local characteristics (~‚i;t; ~mi;t(dyi)) for some equivalent martingale measure Q. The local characteristics are …

Persistent link: https://www.econbiz.de/10004984596

Modeling liquidity effects in discrete time

Cetin, Umut; Rogers, L.C.G. - London School of Economics (LSE) - 2007

We study optimal portfolio choices for an agent with the aim of maximising utility from terminal wealth within a market with liquidity costs. Under some mild conditions, we show the existence of optimal portfolios and that the marginal utility of the optimal terminal wealth serves as a change of...

Persistent link: https://www.econbiz.de/10010746632

On the Consistency of the Lucas Pricing Formula

Aase, Knut K - Anderson Graduate School of Management, University of … - 2005

version. It is shown that this term is also of importance in the equivalent martingale measure approach to pricing. In most …

Persistent link: https://www.econbiz.de/10010536026