Anticipative Diffusion and Related Change of Measures
β Scribed by O. Enchev; D.W. Stroock
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 767 KB
- Volume
- 116
- Category
- Article
- ISSN
- 0022-1236
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In this paper we shall examine the relationship between weak convergence of processes S; 'ST,,, where B is Brownian motion, and convergence of the time changes T,, and the scale functions S,. In Section 2, we show that if the T,'s are inverses of functionals A, (not necessarily additive) and A,(t) +
Pricing and the Effect of an ## Anticipated Price Change Avner Wolf is article commodity examines theoretical aspects of Black's (1976) pricing formula of r options and the effect on the option's premium of an anticipated future drift in the futures price. In the first part, we derive the formula