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Risk Neutral Measure Determination from Price Ranges: Single Period Market Models

Risk neutral measures are defined such that the basic random assets in a portfolio are martingales. Hence, when the market model is complete, valuation of other financial instruments is a relatively straightforward task when those basic random assets constitute their underlying asset. To determine t...

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Detalles Bibliográficos
Autores principales: Gzyl, Henryk, Molina, German, ter Horst, Enrique
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7513028/
https://www.ncbi.nlm.nih.gov/pubmed/33265598
http://dx.doi.org/10.3390/e20070508