Downloads: 106
Research Paper | Mathematics | Volume 6 Issue 2, February 2017 | Pages: 1460 - 1463 | Kenya
Assets Valuation Using a Contingent Claim
Abstract: In this paper we consider the price dynamics of a portfolio consisting of risk-free and risky assets. The paper discusses the pricing process of a contingent claim, the pricing equation and the risk-neutral valuation under the Martingale representation property. A partial dierential equation with an unknown price function is formulated. The solution of this PDE gives a unique pricing formula.
Keywords: Continent claim valuation, Option pricing, Martingale representation, Risk-Neutral Valuation and Stochastic Integrals
How to Cite?: Were J, Omolo Ongati, Nyakinda J, "Assets Valuation Using a Contingent Claim", Volume 6 Issue 2, February 2017, International Journal of Science and Research (IJSR), Pages: 1460-1463, https://www.ijsr.net/getabstract.php?paperid=ART2017799, DOI: https://dx.doi.org/10.21275/ART2017799