Risk-neutral Modeling with Affine and Nonaffine Models

  • GARLAND B. DURHAM
  • Published 2013
Option prices provide a great deal of information regarding the market’s expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This article demonstrates new techniques for joint analysis of the physical and risk… (More)