Questions tagged [equivalent-measure]

The tag has no usage guidance.

18 questions
Filter by
Sorted by
Tagged with
84 views

• 11
84 views

Can the risk-neutral measure depend on the option type?

In an ideal Black-Scholes setting, the Risk-Neutral measure $Q$ is unique and so, obviously, does not depend on what derivative instrument we want to price. Assume some deviation from perfect markets (...
1 vote
75 views

We have a two LIBOR contracts, how to compare their values by change of change of numeraire

We have two LIBOR contracts: contract 1 pays $L\left(T_{1},\:T_{2}\right)-K$ at time $T_{1}$ contract 2 pays $L\left(T_{1},\:T_{2}\right)-K$ at time $T_{2}$. Now, $F_{1}$ is the par strike such that ...
• 11
1 vote
88 views

Replicating portfolio of an option and to find inital price

I am very new to financial math so I am not sure how to do with this question. A friend sent me this question to practice but I am unsure how to begin. I read about call option . Can that be used for ...
• 11
145 views

Last step step in Girsanov's theorem proof

I consider the version of Girsanov's theorem presented in this question. Let us take the particular case that $\mathbb{F}$ is the filtration generated by standard Brownian motion $(W)_{t\in[0;T]}$ ...
• 747