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Assets Valuation Using a Contingent Claim

Journal: International Journal of Science and Research (IJSR) (Vol.6, No. 2)

Publication Date:

Authors : ; ; ;

Page : 1460-1463

Keywords : Continent claim valuation; Option pricing; Martingale representation; Risk-Neutral Valuation and Stochastic Integrals;

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In this paper we consider the price dynamics of a portfolio consisting of risk-free and risky assets. The paper discusses the pricing process of a contingent claim, the pricing equation and the risk-neutral valuation under the Martingale representation property. A partial dierential equation with an unknown price function is formulated. The solution of this PDE gives a unique pricing formula.

Last modified: 2021-06-30 17:48:27