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Assets Valuation Using a Contingent Claim

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Publication Date
2017-02
Author
Were, J.
Ongati, Omolo
Nyakinda, Joseph Otula
Type
Article
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Abstract/Overview

In this paper we consider the price dynamics of a portfolio consisting of risk-free and risky assets. The paper discusses the pricing process of a contingent claim, the pricing equation and the risk-neutral valuation under the Martingale representation property. A partial differential equation with an unknown price function is formulated. The solution of this PDE gives a unique pricing formula

Subject/Keywords
Continent claim valuation; Option pricing; Martingale representation; Risk-Neutral Valuation; Stochastic Integrals
Publisher
International Journal of Science and Research (IJSR)
Permalink
http://ir.jooust.ac.ke:8080/xmlui/handle/123456789/9325
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