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Annals of Finance
Erschienen in: Annals of Finance 2/2018

02.12.2017 | Research Article

On the implied market price of risk under the stochastic numéraire

verfasst von: Nikolai Dokuchaev

Erschienen in: Annals of Finance | Ausgabe 2/2018

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Abstract

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is not unique for this market, and there are non-replicable claims. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures calculated from bond prices constructed as a risk-free investment with deterministic payoff at the terminal time. This leads to possibility to infer a implied market price of risk process from observed historical bond prices.
Vorheriger Artikel Financial equilibrium with non-linear valuations
Nächster Artikel Asset market equilibrium with liquidity risk

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Metadaten
Titel
On the implied market price of risk under the stochastic numéraire
verfasst von
Nikolai Dokuchaev
Publikationsdatum
02.12.2017
Verlag
Springer Berlin Heidelberg
Erschienen in
Annals of Finance / Ausgabe 2/2018
Print ISSN: 1614-2446
Elektronische ISSN: 1614-2454
DOI
https://doi.org/10.1007/s10436-017-0315-y

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