Assets Valuation Using a Contingent Claim

Were J ^[2] | Omolo Ongati ^[4] | Nyakinda J

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

Edition: Volume 6 Issue 2, February 2017,

Pages: 1460 - 1463

How to Download this Article?

Type Your Valid Email Address below to Receive the Article PDF Link

Verification Code will appear in 2 Seconds ... Wait

Assets Valuation Using a Contingent Claim

Similar Articles with Keyword 'claim'

Solvency and Reinsurance Treaty of an Automobile Portfolio: Case of Sub-Saharian Countries

Pre-School Teacher Knowledge of Mathematical Reasoning: A Grounded Theory Study