具有无穷小的等价鞅测度的构造

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2013-03-01 DOI:10.2139/ssrn.1274962

J. Witzany

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引用次数: 2

摘要

等效鞅测度的概念对金融衍生品合约的定价具有重要意义。本文的目的是应用于非标准分析装置中的微小量，提供了建立在具有微小量时间步长的超黑二叉树上的等效鞅测度的初等构造。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Construction of Equivalent Martingale Measures with Infinitesimals

The concept of equivalent martingale measures is of key importance for pricing of nancial derivative contracts. The goal of the paper is to apply in nitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyper nite binomial trees with in nitesimal time steps.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets