منابع مشابه
Pricing Functionals and Pricing Measures
We demonstrate how pricing functionals give rise to pricing measures, using a time-independent framework. For infinite market state spaces, the Gel’fand spectral theory is used to obtain the pricing measure. Pricing functionals with additional market information are shown, within this model, to be given by conditional expectations.
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This paper relates to an approach described in [5] which, for the pricing of bonds and bond derivatives, is alternative to the classical approach that involves martingale measures and is based on the solution of a stochastic control problem, thereby avoiding a change of measure. It turns out that this approach can be extended to various situations where traditionally a change of measure is invo...
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We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived, involves a probability measure transform that is closely related to the Esscher transform, and we call it the Esscher-Girsanov transform. In a financial market in which the primary asset price is represented by a ...
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In this paper we recover the posterior distribution of the equilibrium asset pricing functional p in a completely nonparametric way. We consider the rational expectation model of Lucas (1978) that characterizes the function p as the solution of an integral equation of second kind. We adopt a Bayesian procedure since it allows to incorporate all the prior information we have and mimics the Bayes...
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Within a horizontal differentiation model and allowing for heterogeneous qualities, we analyze the effects of reference pricing reimbursement on firms' pricing strategies. With this analysis we find inherent incentives for firms' pricing behavior, and consequently we shed some light on the time consistency of such policy. The analysis encompasses different reference price rules: (i) reference p...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2008
ISSN: 0973-9599
DOI: 10.31390/cosa.2.1.05