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

Renzitti, Stefano, Pricing in the Real World Measure (October 13, 2022). Available at SSRN: or

Stefano Renzitti (Contact Author)

S&P Global ( email )

1066 West Hastings Street
Vancouver, British Columbia V6E 3X1

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