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0
votes
1answer
80 views

Dealing with the stock numeraire

I don't understand how to express the stock dynamics in the stock numéraire I have $dS_t/S_t = rdt + \sigma dW_t$ as usual under the money-market numéraire and I need to price options with payoffs ...
3
votes
1answer
94 views

Numéraire — couldn't understand the wiki explanation

I'm trying to understand Numéraire concept so am reading the wiki page: I couldn't understand the last formula's 2nd equation: $$ ...
1
vote
1answer
67 views

Baye's rule for conditional expectations (Proof review)

The Baye's rule for conditional expectations states $$ E^Q[X|\mathcal{F}]E^P[f|\mathcal{F}]=E^P[Xf|\mathcal{F}] $$ With $f=dQ/dP$ - thus being the Radon-Nikodyn derivative and $X$ being ...
7
votes
2answers
331 views

T-Forward Price on risk-neutral measure

i have and question concerning the T-forward price definition on the Robert J.Elliot's book : Mathematics of Financial Markets. On his chapter 9, definition 9.1.3 p.249. He give the formula without ...