Risk neutral valuation: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Add link.) |
imported>Doug Williamson (Add link.) |
||
| Line 10: | Line 10: | ||
* [[Black Scholes option pricing model]] | * [[Black Scholes option pricing model]] | ||
* [[Neutral]] | * [[Neutral]] | ||
* [[No arbitrage conditions]] | |||
* [[Replicating portfolio]] | * [[Replicating portfolio]] | ||
[[Category:Financial_risk_management]] | [[Category:Financial_risk_management]] | ||
Latest revision as of 11:48, 29 March 2023
Valuation 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.
