Informational Updates and the Derivative Pricing Kernel
It is common in financial markets for market makers to offer prices on derivative instruments even though they are uncertain about the underlying asset’s value. This paper studies the mathematical problem that arises as a result. Derivatives are priced in the risk-neutral framework, so as the market...
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Format: | Article |
Language: | English |
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MDPI AG
2024-01-01
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Series: | AppliedMath |
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Online Access: | https://www.mdpi.com/2673-9909/4/1/5 |