The Equivalent Martingale Measure : An Introduction to Pricing Using Expectations  

Oleh:

Magdon-Ismail, M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: IEEE Transactions on Neural Networks vol. 12 no. 4 (2001), page 684-693.
Topik: PRICING; equivalent; martingale measure; pricing; expectations

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II36.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We provide a self contained introduction to the risk neutral or martingale approach to the pricing of financial derivatives, while assuming no financial background. This approach to pricing provides a rich source of problems ideally suited to the application of Monte Carlo methods, thus forming a bridge between computational finance and some of the well developed tools available to engineers and scientists. We illustrate the power of the martingale approach by using it to develop the price of the European call option using only elementary methods and briefly discuss the pricing of the American put option as well as interest rate derivatives.

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