ダウンロード数: 321
タイトル: | Benchmarking and Fair Pricing Applied to Two Market Models |
著者: | Hulley, Hardy Miller, Shane Platen, Eckhard |
キーワード: | growth optimal portfolio benchmark approach fair pricing Merton jump-diffusion model minimal market model |
発行日: | 2005 |
出版者: | Graduate School of Economics, Kyoto University |
引用: | Hardy Hulley, Shane Miller and Eckhard Platen; “Benchmarking and Fair Pricing Applied to Two Market Models”, The Kyoto Economic Review, Vol. 74, pp.85-118 (2005) . |
誌名: | The Kyoto Economic Review |
巻: | 74 |
号: | 1 |
開始ページ: | 85 |
終了ページ: | 118 |
抄録: | This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when benchmarked by this portfolio, are local martingales under the real-world measure. This justifies the fair pricing approach, which expresses derivative prices in terms of real-world conditional expectations of benchmarked payoffs. Two models for benchmarked primary security accounts are presented, and fair pricing formulas for some common contingent claims are derived. |
DOI: | 10.11179/ker.74.85 |
URI: | http://hdl.handle.net/2433/24841 |
出現コレクション: | Vol.74 No.1 |
![](/dspace/image/articlelinker.gif)
このリポジトリに保管されているアイテムはすべて著作権により保護されています。