Benchmarking and fair pricing applied to two marker models

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dc.contributor.author Hulley, H
dc.contributor.author Miller, S
dc.contributor.author Platen, E
dc.date.accessioned 2010-05-14T07:46:28Z
dc.date.created 2010-05-14T07:46:28Z en_US
dc.date.issued 2005-01
dc.identifier.citation The Kyoto Economic Review, 2005, 74 (1), pp. 85 - 118
dc.identifier.issn 1349-6778
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/6372
dc.description.abstract This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when benchmarked by this portfolio, are local martingales unde the real-world measure. This justifies the fair pricing approach, which expresses derivative prices in terms of real-world conditional expectations of benchmarked pay-offs. Two models for benchmarked primary security accounts are presentated, and fair pricing formulas for some common contingent claims are derived.
dc.publisher Graduate School of Economics, Kyoto University
dc.title Benchmarking and fair pricing applied to two marker models
dc.type Journal Article
dc.parent The Kyoto Economic Review
dc.journal.volume 1
dc.journal.volume 74
dc.journal.number 1 en_US
dc.publocation Japan en_US
dc.identifier.startpage 85 en_US
dc.identifier.endpage 118 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140302 Econometric and Statistical Methods
dc.personcode 970685
dc.personcode 024078
dc.personcode 040635
dc.percentage 100 en_US
dc.classification.name Econometric and Statistical Methods en_US
dc.classification.type FOR-08 en_US
dc.description.keywords growth optimal portfolio, benchmark approach, fair pricing, Merton jump diffusion model, minimal market model
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history Closed (ID: 3)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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