Timeline for How do equivalent martingale measures arise in pricing?
Current License: CC BY-SA 3.0
7 events
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| Apr 17, 2011 at 19:36 | answer | added | gappy | timeline score: 2 | |
| Apr 13, 2011 at 22:52 | comment | added | Ben | I'm not sure how the form of the utility function is useful. This is part of a longer question, so perhaps it doesn't play a role just yet. | |
| Apr 13, 2011 at 20:06 | comment | added | SBF | Using all provided information maybe it's possible to go utility function$\to$non-arbitrage$\to$martingale measure. What can you conclude from the form of the utility function? | |
| Apr 13, 2011 at 13:08 | history | edited | Ben |
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| Apr 13, 2011 at 13:08 | comment | added | Ben | No information on the distribution of the shares is given. Usually, we consider single-period models with d shares (assumed dependent) and a riskless bond of rate r. | |
| Apr 13, 2011 at 12:42 | comment | added | TheBridge | Could you give more details about the probability laws of the "bonds" and "shares" that you are dealing with in your exercise ? Regards PS : Tagging "Homework" this question would be natural. | |
| Apr 13, 2011 at 12:13 | history | asked | Ben | CC BY-SA 3.0 |