Timeline for Is the Non-discounted Bachelier call option price a Martingale? [duplicate]
Current License: CC BY-SA 4.0
11 events
| when toggle format | what | by | license | comment | |
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| Jul 25, 2019 at 19:25 | history | closed |
Daneel Olivaw skoestlmeier amdopt byouness Attack68♦ |
Duplicate of Why discounted derivative price is a martingale? | |
| Jul 17, 2019 at 11:50 | vote | accept | econmajorr | ||
| Jul 16, 2019 at 10:35 | review | Close votes | |||
| Jul 25, 2019 at 19:25 | |||||
| S Jul 16, 2019 at 9:57 | history | suggested | Kevin | CC BY-SA 4.0 |
Corrected some typos
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| Jul 16, 2019 at 5:50 | review | Suggested edits | |||
| S Jul 16, 2019 at 9:57 | |||||
| Jul 15, 2019 at 18:33 | answer | added | Kevin | timeline score: 4 | |
| Jul 15, 2019 at 7:53 | comment | added | byouness | What I mean is that when saying that some process is a martingale, you need to specify under which measure. For example, the discounted option price is a martingale under the risk-neutral measure, but it is not a martingale under other measures. When you change the measure the drift changes. | |
| Jul 15, 2019 at 0:04 | comment | added | dm63 | $X_t/B_t$ is the non discounted option price. It’s a martingale in the measure of the zero coupon bond maturing at the expiration date. | |
| Jul 14, 2019 at 21:35 | comment | added | econmajorr | I am not sure what you mean. This under Bachelier model. So using the dynamics of $f_t$: $df_t$ and then compute $dC_t$ we should end up getting a process without a drift.. This is what I understand when I read these notes. | |
| Jul 14, 2019 at 21:09 | comment | added | byouness | The question here is, martingale under which measure? | |
| Jul 14, 2019 at 19:57 | history | asked | econmajorr | CC BY-SA 4.0 |