Download This PaperPricing in the Real World Measure
4 Pages Posted: 22 Nov 2022
Date Written: October 13, 2022
Abstract
The following contains notes proving that absence of arbitrage implies that the value of a cashflow can be written as an expectation of future cash flows in a chosen measure, with a measure specific adjustment.
Keywords: Valuation, Change of Measure, Jump-Diffusion
JEL Classification: C, G12, G13
Suggested Citation: Suggested Citation
Renzitti, Stefano, Pricing in the Real World Measure (October 13, 2022). Available at SSRN: https://ssrn.com/abstract=4276900 or http://dx.doi.org/10.2139/ssrn.4276900
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