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Discrete Time Models for Contingent Claims by Diego Manzur is a document available to read on EtoBox.
What is Discrete Time Models for Contingent Claims about?
This document summarizes research on pricing contingent claims in discrete time models. It discusses how discrete time models require stronger assumptions about investor preferences than continuous time models to derive risk-neutral valuation relationships. Specifically, discrete time models assume investors have constant proportional risk aversion and returns on the underlying asset follow a bivariate lognormal distribution. The chief advantages of discrete time models are their greater generality and that
- Author
- Diego Manzur
- Language
- EN