Pricing in the Real World Measure
4 Pages Posted: 22 Nov 2022
Date Written: October 13, 2022
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