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...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Springer-Verlag
2018
|
| Online Access: | http://hdl.handle.net/20.500.11937/63418 |
| _version_ | 1848761083621277696 |
|---|---|
| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T10:26:02Z |
| format | Journal Article |
| id | curtin-20.500.11937-63418 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:26:02Z |
| publishDate | 2018 |
| publisher | Springer-Verlag |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-634182019-02-19T05:36:19Z On the implied market price of risk under the stochastic numéraire Dokuchaev, Nikolai 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. 2018 Journal Article http://hdl.handle.net/20.500.11937/63418 10.1007/s10436-017-0315-y Springer-Verlag fulltext |
| spellingShingle | Dokuchaev, Nikolai On the implied market price of risk under the stochastic numéraire |
| title | On the implied market price of risk under the stochastic numéraire |
| title_full | On the implied market price of risk under the stochastic numéraire |
| title_fullStr | On the implied market price of risk under the stochastic numéraire |
| title_full_unstemmed | On the implied market price of risk under the stochastic numéraire |
| title_short | On the implied market price of risk under the stochastic numéraire |
| title_sort | on the implied market price of risk under the stochastic numéraire |
| url | http://hdl.handle.net/20.500.11937/63418 |