Various Approaches to Asset Pricing

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 9 in A Benchmark Approach to Quantitative Finance, 2006, pp 319-365 from Springer

Abstract: Abstract A fundamental result of this chapter is that prices can be generally obtained under the benchmark approach in situations where other approaches are not available. This chapter also clarifies relationships between real world pricing under the benchmark approach and the pricing by other means in the areas of finance and insurance. Furthermore, it presents the Girsanov transformation, the change of numeraire technique and the Feynman-Kac formula, which are all highly relevant to derivative pricing.

Date: 2006
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DOI: 10.1007/978-3-540-47856-0_9

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