Pricing measures, forward measures and semigroups

DOI10.1080/14697680802392504MaRDI QIDQ3404098zbMATH OpenOpenAlexFDO

Authors Jinke Zhou, Xiaolu Wang

Publication date 5 February 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802392504

zbMATH Keywords

Markov processesarbitrage pricingderivatives pricingjump-diffusion processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• A note on the forward measure
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic flows and the forward measure
• Continuous-time term structure models: Forward measure approach
• Risk‐neutral pricing techniques and examples

Cites work

• scientific article; zbMATH DE number 857920 (Why is no real title available?)
• A general characterization of one factor affine term structure models
• A note on the forward measure
• Affine processes and applications in finance
• Changes of numéraire, changes of probability measure and option pricing
• Continuous-time term structure models: Forward measure approach
• Information structure and equilibrium asset prices
• Information structures and viable price systems
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Time-inhomogeneous affine processes

Cited in

(2)

• Pricing functionals and pricing measures
• Risk‐neutral pricing techniques and examples

This page was built for publication: Pricing measures, forward measures and semigroups

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3404098)