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Two-Factor Model for Low Interest Rate Regimes

Miller, Shane; Platen, Eckhard - Finance Discipline Group, Business School - 2004

the real world probability measure. Using this methodology we derive pricing functions for zero coupon bonds and options …

Persistent link: https://www.econbiz.de/10004984570

Analytic Pricing of Contingent Claims Under the Real-World Measure

Miller, Shane; Platen, Eckhard - Finance Discipline Group, Business School - 2008

-square random variables with zero degrees of freedom. The analytic formulae derived under the SMMM include options on the GOP …, options on exchange prices and options on zero-coupon bonds. For options on zero-coupon bonds, analytic prices facilitate …

Persistent link: https://www.econbiz.de/10004984602

Benchmarking and Fair Pricing Applied to Two Market Models

Hulley, Hardy; Miller, Shane; Platen, Eckhard - Finance Discipline Group, Business School - 2005

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 under the real-world measure. This...

Persistent link: https://www.econbiz.de/10005102333