Tagged Questions
2
votes
1answer
108 views
American Option price formula assuming a logLaplace distribution?
What are $d_1$ and $d_2$ for Laplace? may be running before walking.
When I tried to use the equations provided, the pricing became extremely lopsided, with the calls being routinely double puts. ...
6
votes
0answers
129 views
Consistency of economic scenarios in nested stochastics simulation
I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement.
Background:
Pricing by Monte-Carlo:
For pricing complex ...
2
votes
0answers
105 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 ...
5
votes
2answers
649 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 ...
3
votes
2answers
129 views
What mathematical characteristics are required from the asset price process in order to stay within the RNP framework?
I'm currently doing a course in derivatives pricing and I'm having some trouble wrapping my head around the sweet spot where theory meets reality in terms of Risk Neutral Pricing.
I know that the ...
