کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091472 1375683 2017 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
From measure changes to time changes in asset pricing
ترجمه فارسی عنوان
از اندازه گیری تغییرات در زمان تغییر در قیمت دارایی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Consequently, starting with a general multidimensional stochastic process S defined on a probability space (Ω, F,Ft, P) and representing the prices of primitive securities, the no-arbitrage assumption allows, for any chosen numéraire, to obtain a martingale representation for S under a probability measure QS equivalent to P. This route will be particularly beneficiary for the pricing of complex contingent claims. Alternatively, changing the clock, i.e., changing the filtration (Ft), we can recover the Brownian motion and normality of returns. In all cases martingales appear as the central representation of asset prices, either through a measure change or through a time change.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Brought to you by:GAYATRI VIDYA PARISHAD COLLEGE OF ENGINEERING for Women Renewal due by 31 Dec 2017
نویسندگان
,