On the implied market price of risk under the stochastic numéraire
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DOI: 10.1007/s10436-017-0315-y
Abstract: This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is… read more here.
Keywords: risk; market price; price risk; market ... See more keywords