y martingale so welcome — simply stated

label – bold
P645 [[Hull] hints that if we can perceive an (unfolding) price process as a MG, then it will be much simpler to price a contingent claim.
In a similar sense, if a contingent claim has only a single payoff at a future time T, then the T-forward measure can simplify things significantly.
Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s