Risk neutral valuation

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Revision as of 21:48, 24 March 2023 by imported>Doug Williamson (Add link.)
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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.


See also