Benchmarking and fair pricing applied to two marker models

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Show simple item record Hulley, Hardy en_US Miller, Shane en_US Platen, Eckhard en_US 2010-05-14T07:46:28Z 2010-05-14T07:46:28Z 2010-05-14T07:46:28Z en_US 2005 2005 en_US
dc.identifier 2005001928 en_US
dc.identifier.citation Hulley Hardy, Miller Shane, and Platen Eckhard 2005, 'Benchmarking and fair pricing applied to two marker models', Graduate School of Economics, Kyoto University, vol. 74, no. 1, pp. 85-118. en_US
dc.identifier.issn 1349-6778 en_US
dc.identifier.other C1 en_US
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. en_US
dc.publisher Graduate School of Economics, Kyoto University en_US
dc.relation.isbasedon en_US
dc.title Benchmarking and fair pricing applied to two marker models en_US
dc.parent The Kyoto Economic Review en_US
dc.journal.volume 74 en_US
dc.journal.number 1 en_US
dc.publocation Japan en_US
dc.identifier.startpage 85 en_US
dc.identifier.endpage 118 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140302 en_US
dc.personcode 040635 en_US
dc.personcode 024078 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US 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 en_US
dc.staffid 970685 en_US

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