On the implied market price of risk under the stochastic numéraire
MetadataShow full item record
The final publication is available at Springer via http://dx.doi.org/10.1007/s10436-017-0315-y
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is not unique for this market, and there are non-replicable claims. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures calculated from bond prices constructed as a risk-free investment with deterministic payoff at the terminal time. This leads to possibility to infer a implied market price of risk process from observed historical bond prices.
Showing items related by title, author, creator and subject.
Pojanavatee, Sasipa (2013)Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing EconomiesRafiq, Shuddhasattwa (2009)It is now well established in the literature that oil consumption, oil price shocks, and oil price volatility may impact the economic activities negatively. Studies identifying the relationship between energy and/or oil ...
Gurrib, Muhammad Ikhlaas (2008)This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...