Risk - Neutral Parameter Shifts And Derivatives Pricing in Discrete Time  

Oleh:

Schroder, Mark

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 5 (Oct. 2004), page 2375-2402.
Topik: risks; studies; derivatices; mathematical models; risk; correlation analysis; expected returns
Fulltext: p 2375.pdf (180.13KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We obtain a large class of discrete-time risk - neutral valuation relationships, or "preference - free" derivatives pricing models, by imposing a simple restriction on the state - price density process. The risk - neutral stock - return and forward - rate dynamics are obtained by changing only a location parameter, which can be determined independent of the preference and true location parameters. The Gaussian models of Rubinstein (1976), Brennan (1979), and Camera (2003), and the gamma model of Heston (1993) are all special cases. The model provides simple relationships between expected returns and state - price density parameters analogous to the diffusion case.

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