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A note on the forward measure

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Publication:1381487
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DOI10.1007/s007800050030zbMath0894.90015OpenAlexW2007132958MaRDI QIDQ1381487

Mark H. A. Davis

Publication date: 19 August 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050030


zbMATH Keywords

option pricingRadon-Nikodym derivativeforward measurerisk-neutral measure


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (6)

The dynamics of implied volatilities: a common principal components approach ⋮ Stochastic volatility Gaussian Heath-Jarrow-Morton models ⋮ Efficient calibration of trinomial trees for one-factor short rate models ⋮ Mean-variance hedging in continuous-time with stochastic interest rate ⋮ Pricing measures, forward measures and semigroups ⋮ Valuation of an option using non-parametric methods




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