General framework for pricing derivative securities

This article describes a general methodology that can be used for financial risk management. The approach is based on the model of Heath et al. (1992) of term structure movements but deals with the case of incomplete market. Both, domestic and foreign economies are investigated. Prices of various options are calculated using the forward measure introduced recently by El Karoui and Rochet (1989).

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Year of publication:	1995
Authors:	Musiela, Marek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 55.1995, 2, p. 227-251
Publisher:	Elsevier
Keywords:	Term structure models HJM framework Arbitrage free pricing Martingale measures

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874955