On the implied market price of risk under the stochastic numéraire
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2018-02-06T06:17:07Z | |
| dc.date.available | 2018-02-06T06:17:07Z | |
| dc.date.created | 2018-02-06T05:49:53Z | |
| dc.date.issued | 2018 | |
| dc.identifier.citation | Dokuchaev, N. 2018. On the implied market price of risk under the stochastic numéraire. Annals of Finance. 14 (2): pp. 223–251. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/63418 | |
| dc.identifier.doi | 10.1007/s10436-017-0315-y | |
| dc.description.abstract |
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. | |
| dc.publisher | Springer-Verlag | |
| dc.title | On the implied market price of risk under the stochastic numéraire | |
| dc.type | Journal Article | |
| dcterms.source.volume | TBA | |
| dcterms.source.startPage | 1 | |
| dcterms.source.endPage | 20 | |
| dcterms.source.issn | 1614-2454 | |
| dcterms.source.title | Annals of Finance | |
| curtin.note |
The final publication is available at Springer via http://dx.doi.org/10.1007/s10436-017-0315-y | |
| curtin.department | School of Electrical Engineering, Computing and Mathematical Science (EECMS) | |
| curtin.accessStatus | Open access |