2007•Journal of Anyang Normal UniversityRequires access

A No Risk-Neutral Pricing of European Contingent Claim

Lian Ying-ying

Abstract

By means of backward stochastic differential equation and transformation of martingale measure,an European contingent claim and no risk-neutral Pricing model based on physical probability measure and information is given in this paper.At the same time it is given the pricing formula and hedging stragety of European call and put option.

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Available abstract

Key concepts: Martingale pricing, Martingale (probability theory), Risk-neutral measure, Measure (data warehouse), Girsanov theorem, Stochastic differential equation, Probability measure, Economics