Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62246
Authors: 
Platen, Eckhard
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,92
Abstract: 
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is obtained as a natural consequence of the approach. Contingent claim prices are computed under the real world measure both in the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation.
Subjects: 
financial market modelling
deflator
risk premium
contingent claim pricing
incomplete market
JEL: 
G10
G13
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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