Timeline for Why does the diffusion term remain the same when we change pricing measure?
Current License: CC BY-SA 4.0
14 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 25, 2022 at 21:55 | comment | added | dm63 | No prob. It is a subtle thing for sure, can’t say I fully understand it. | |
| S Jan 25, 2022 at 16:36 | vote | accept | user9078057 | ||
| Jan 25, 2022 at 14:56 | answer | added | Maximilian Janisch | timeline score: 4 | |
| Jan 25, 2022 at 14:19 | comment | added | nbbo2 | @dm63: agree. something not quite right with what I said, I need to rethink this stmt. Sorry. | |
| Jan 25, 2022 at 13:35 | comment | added | dm63 | Hey @noob2, is your last sentence true ? If you change the probabilities on a tree without changing the possible outcomes for the stock, I think you do change the variance don’t you? | |
| Jan 24, 2022 at 21:43 | comment | added | shalop | The simple mathematical answer is that if you change sigma then the law of the new process becomes singular with respect to the old one , i.e. the two processes are no longer equivalent. For a simple example you can consider drift zero and two different values of sigma and then a simple application of the law of the iterated logarithm will easily give you singularity of the two measures. A similar argument can be used in the general case of variable coefficients as well. | |
| Jan 24, 2022 at 21:00 | history | tweeted | twitter.com/StackQuant/status/1485719066241380359 | ||
| Jan 24, 2022 at 20:41 | history | became hot network question | |||
| Jan 24, 2022 at 19:40 | vote | accept | user9078057 | ||
| S Jan 25, 2022 at 16:36 | |||||
| Jan 24, 2022 at 19:40 | vote | accept | user9078057 | ||
| Jan 24, 2022 at 19:40 | |||||
| Jan 24, 2022 at 15:30 | comment | added | user34971 | I suspect it has to do with equivalent probability measures. See also the accepted answer here: mathoverflow.net/questions/51090/… | |
| Jan 24, 2022 at 15:16 | history | edited | Jan Stuller | CC BY-SA 4.0 |
edited title
|
| Jan 24, 2022 at 15:07 | answer | added | Kurt G. | timeline score: 5 | |
| Jan 24, 2022 at 12:40 | history | asked | user9078057 | CC BY-SA 4.0 |