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Assets Valuation Using a Contingent Claim
Journal: International Journal of Science and Research (IJSR) (Vol.6, No. 2)Publication Date: 2017-02-05
Authors : Were J; Omolo Ongati; Nyakinda J;
Page : 1460-1463
Keywords : Continent claim valuation; Option pricing; Martingale representation; Risk-Neutral Valuation and Stochastic Integrals;
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Abstract
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.
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