{"title":"Construction of Equivalent Martingale Measures with Infinitesimals","authors":"J. Witzany","doi":"10.2139/ssrn.1274962","DOIUrl":null,"url":null,"abstract":"The concept of equivalent martingale measures is of key importance for pricing of nancial derivative contracts. The goal of the paper is to apply in nitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyper nite binomial trees with in nitesimal time steps.","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"1 1","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Derivatives","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.1274962","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 2
Abstract
The concept of equivalent martingale measures is of key importance for pricing of nancial derivative contracts. The goal of the paper is to apply in nitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyper nite binomial trees with in nitesimal time steps.
期刊介绍：
The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets
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