Lecture 4 : Risk Neutral Pricing 1 Part I : The Girsanov Theorem 1 . 1 Change of Measure
نویسنده
چکیده
Example 1. Change of measure on Ω = [0, 1]. Example 2. Change of measure for normal random variables. • We can also perform change of measure for a whole process rather than for a single random variable. Suppose that there is a probability space (Ω,F) and a filtration {Ft, 0 ≤ t ≤ T}. Suppose further that FT -measurable Z is an almost surely positive random variable satisfying E[Z] = 1. We can then define the Radon-Nikodym derivative process Zt = E[Z|Ft], 0 ≤ t ≤ T.
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