Tagged Questions

3
votes
1answer
123 views

Foward-start option pricing

Consider a probability filtred space $(\Omega, \mathcal F, \mathbb F, \mathbb P)$, where $\mathbb F = (\mathcal F_t)_{0\leq t\leq T}$ satisfing the habitual conditions and is generated by $1 d $- ...
5
votes
1answer
144 views

How to derive the formula of a European Libor call option in a Libor Market Model?

I am struggling with the following two mathematical statements. The first is from the book "Term-structure Models: A Graduate Course - Damir Filipović" Suppose we have a deterministic function ...
5
votes
2answers
599 views

How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?

I am really having a terrible time applying Girsanov's theorem to go from the real-world measure $P$ to the risk-neutral measure $Q$. I want to determine the payoff of a derivative based an asset ...