Stochastic Calculus for Finance II¶
Shreve, S. E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models. Springer.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Measure
- When they switch from the historical measure to a risk-neutral one for pricing a derivative, they are performing a change of measure — re-weighting the same scenarios by a density — which is the single structural move behind importance sampling, stress-weighting, and arbitrage-free valuation alike.
This sourceDevelops change of measure (Girsanov, risk-neutral pricing) as re-weighting scenarios by a density, the same move behind importance sampling and arbitrage-free valuation.
- When they switch from the historical measure to a risk-neutral one for pricing a derivative, they are performing a change of measure — re-weighting the same scenarios by a density — which is the single structural move behind importance sampling, stress-weighting, and arbitrage-free valuation alike.
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Registry ID ref:f312a74f410c · see in the full table