haku: @all futures / yhteensä: 245
viite: 243 / 245
| Tekijä: | Madjlessi, F. Schlag, C. |
| Otsikko: | Bewertungstechniken bei Zinsunsicherheit |
| Lehti: | Zeitschrift für Betriebswirtschaft
1996 : VOL. 66:2, p. 167-189 |
| Asiasana: | INTEREST RATES PRICING CAPITAL THEORY |
| Kieli: | ger |
| Tiivistelmä: | When interest rates are stochasic the settlement procedure for a derivative contract is relevant for its pricing. For reasons of both mathematical tractability and computational efficiency it is necessary to check which of the two basic pricing concepts (risk-neutral or forward-risk adjusted pricing) should be applied to a given problem. For contracts with daily settlement the risk-neutral pricing methodology is preferable whereas conventionally settled contratcs are easier to price using the forward-risk adjusted technique. This result is also reflected by the martigale property of futures prices and forward prices under the risk-neutral and forward-risk-adjusted measure, respectively. Using the "right" methodology also allows for the straightforward deduction of distribution-free results, such as put-call- parities for different kinds of options. |
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