Tagged Questions
2
votes
0answers
101 views
Measure change in a bond option problem
This is not a homework or assignment exercise.
I'm trying to evaluate $\displaystyle \ \ I := E_\beta \big[\frac{1}{\beta(T_0)} K \mathbf{1}_{\{B(T_0,T_1) > K\}}\big]$, where $\beta$ is the ...
9
votes
4answers
2k views
What is a martingale?
What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?
