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Start Over Author "Ambar N" Journal communications on stochastic analysis
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3. Pricing functionals and pricing measures

Author

Ambar N. Sengupta and Eric Hillebrand

Subjects
Statistics and Probability, Computer Science::Computer Science and Game Theory, Investment theory, Arbitrage pricing theory, Economics, Finite difference methods for option pricing, Special case, Rational pricing, Conditional expectation, Martingale (probability theory), Mathematical economics, Martingale pricing
Abstract

We demonstrate how pricing functionals give rise to pricing mea- sures, using a time-independent framework. For infinite market state spaces, the Gel'fand spectral theory for C ⁄ -algebras is used to obtain the pricing measure. Pricing functionals with additional market information are shown, within this model, to be given by conditional expectations. Our approach is time-independent, and the usual martingale property of prices appears as a special case in our method.

Published
2008
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