Hulley, Hardy; Platen, Eckhard - 2008
-
ity measure, it nevertheless fulflls a minimal no-arbitrage condition for
an economically viable flnancial market … arbitrage.
JEL Classiflcation: G10, G12, G13.
Keywords: Long-dated claims; risk-neutral pricing; real-world pricing;
arbitrage …-neutral
probability measure is necessary and su–cient to preclude arbitrage oppor-
tunities of a certain type [see e.g. 13]. Therefore, by …