Risk neutral valuation: Difference between revisions

From ACT Wiki
Jump to navigationJump to search
imported>Administrator
(CSV import)
 
imported>Doug Williamson
m (Spacing and category added 20/8/13)
Line 1: Line 1:
Methods which do not depend on knowing or assuming the attitudes to risk of market participants.  
Methods which do not depend on knowing or assuming the attitudes to risk of market participants.  
Instead, they are based on no-arbitrage assumptions and on constructing replicating portfolios of simpler instruments. More complex instruments and positions are then valued indirectly, by calculating the value of the replicating portfolio.
 
Instead, they are based on no-arbitrage assumptions and on constructing replicating portfolios of simpler instruments.  
 
More complex instruments and positions are then valued indirectly, by calculating the value of the replicating portfolio.
 


== See also ==
== See also ==
Line 6: Line 10:
* [[Black Scholes option pricing model]]
* [[Black Scholes option pricing model]]
* [[Replicating portfolio]]
* [[Replicating portfolio]]


[[Category:Financial_risk_management]]

Revision as of 14:09, 20 August 2013

Methods which do not depend on knowing or assuming the attitudes to risk of market participants.

Instead, they are based on no-arbitrage assumptions and on constructing replicating portfolios of simpler instruments.

More complex instruments and positions are then valued indirectly, by calculating the value of the replicating portfolio.


See also