Risk Premia and Financial Modelling Without Measure Transformation
نویسنده
چکیده
This paper describes a nancial market modelling framework that exploits the notion of a de ator. The denominations of the de ator measured in units of primary assets form a minimal set of basic nancial quantities that completely specify overall market dynamics. Risk premia of asset prices are obtained as a natural consequence of the approach. Contingent claim prices are computed under the real world measure both in the case of complete and incomplete markets. 1991Mathematics Subject Classi cation: primary 90A12; secondary 60G30, 62P20. JEL Classi cation: G10, G13
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تاریخ انتشار 2000