On the implied market price of risk under the stochastic numéraire
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 choi...
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| Format: | Journal Article |
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Springer-Verlag
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/63418 |