Equivalent martingale measures and risk-neutral pricing: An expository note

Journal of Derivatives

Volumn 5, Issue 1, 1997, Pages 85-98

  Sundaram, Rangarajan K ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79960164441     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1997.407984     Document Type: Article

References (7)

1. Arrow, K.J. "Le Rôle des Valeurs Boursires Pour la Repartition la Meilleure des Risques." Econometrie Colloq. Internat. Centre National de la Recherche Scientifique, 40 (1953), pp. 41-47. English translation in Review of Economie Studies, 31 (1964), pp. 91-96.
2. Black, Fischer, and Myron J. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economv. 81 (May-June 1973), pp. 637-659.
3. Cox, J., and S. Ross. "The Valuation of Options for Alternative Stochastic Processes." Tournai of Financial Economics. 3 (1976), pp. 145-166.
4. Duffie, D. Dynamic Asset Pricing Theory, 2nd edition. Princeton, Nf: Princeton University Press, 1996.
5. Harrison, J.M., and D. Kreps. "Martingales and Arbitrage in Multiperiod Securities Markets." Journal of Economic Theory, 20 (1979), pp. 381-408.
6. Harrison, J.M., and S.R. Pliska. "Martingales and Stochastic Integrals in the Theory of Continuous Trading." Stochastic Processes and their Annlications. 11 (1981), pp. 215-260.
7. Kreps, D. "Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model." In J.J. McCall, ed., The Economics of Uncertainty and Information. Chicago: University of Chicago, 1982.