証券価格に関わる微分
最近Radon-Nikodym derivativeを学んでいます。実測度から中立測度に変換するための微分です。Basically, the risk-neutral probability density is the derivative of the induced measure with respect to the base measure. How the "induced measure" is specified is a mystery.
最近Radon-Nikodym derivativeを学んでいます。実測度から中立測度に変換するための微分です。Basically, the risk-neutral probability density is the derivative of the induced measure with respect to the base measure. How the "induced measure" is specified is a mystery.