A MARTINGALE RESTRICTION TEST OF OPTION PRICES

Ren-Raw Chen

《Advances in Financial Planning and Forecasting》 9期 (2018/12) Pp. 181-203

https://doi.org/10.6291/AFPF.201812_9.0008

摘要

In this paper, we drive a martingale restriction of a ratio of any two asset prices. With both the benchmark asset and pricing kernel being the numeraire, the ratio of any two asset prices is a martingale. This provides a powerful test of option prices under various models. We first apply it on derivative pricing where there is only one state variable (i.e., the underlying stock). Future research can extend the model to multiple state variables.

關鍵字

Martingale ； Option ； Probability Measure

參考文獻

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