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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...
Guardat en:
| Publicat a: | Entropy (Basel) |
|---|---|
| Autors principals: | , , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI
2018
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7513028/ https://ncbi.nlm.nih.gov/pubmed/33265598 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e20070508 |
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