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searching for Risk-neutral measure 4 found (36 total)

alternate case: risk-neutral measure

Margrabe's formula (726 words) [view diff] exact match in snippet view article find links to article

prices S 1 , S 2 {\displaystyle S_{1},S_{2}} under the appropriate risk-neutral measure, N {\displaystyle N} denotes the cumulative distribution function
Optimal stopping (2,533 words) [view diff] exact match in snippet view article find links to article
-{\frac {\sigma ^{2}}{2}}\right)t+\sigma B_{t}\right\}} under the risk-neutral measure. When the option is perpetual, the optimal stopping problem is V
Option (finance) (5,993 words) [view diff] no match in snippet view article
Stochastic volatility models, and the Heston model as prototype; see #Risk-neutral_measure for a discussion of the logic. Other models include the CEV and SABR
Option on realized variance (1,805 words) [view diff] exact match in snippet view article find links to article
practically quoted in terms of the discrete sampling. Suppose that under a risk-neutral measure Q {\displaystyle \mathbb {Q} } the underlying asset price S = ( S