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Results tagged with risk-neutral-measure
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user 32145
A risk-neutral measure is a probability measure that yields an expected present value (discounted at the risk-free rate) which is equal to the current market price. The risk-neutral measure is also called an equivalent martingale measure.
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Martingale measure and replicating portfolio in Risk Neutral Pricing of Defaultable Zero-Cou...
When pricing a defaultable zero-coupon bond the risk-neutral price is given as the expected value of the discounted payoff of the bond under a risk-neutral measure.
My first question is how do we kno …
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