General framework for pricing derivative securities

Marek Musiela

Stochastic Processes and their Applications, 1995, vol. 55, issue 2, 227-251

Abstract: This article describes a general methodology that can be used for financial risk management. The approach is based on the model of Heath et al. (1992) of term structure movements but deals with the case of incomplete market. Both, domestic and foreign economies are investigated. Prices of various options are calculated using the forward measure introduced recently by El Karoui and Rochet (1989).

Keywords: Term; structure; models; HJM; framework; Arbitrage; free; pricing; Martingale; measures (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (5)

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