| dbo:abstract |
A consistent pricing process (CPP) is any representation of (frictionless) "prices" of assets in a market. It is a stochastic process in a filtered probability space such that at time the component can be thought of as a price for the asset. Mathematically, a CPP in a market with d-assets is an adapted process in if Z is a martingale with respect to the physical probability measure , and if at all times such that is the solvency cone for the market at time . The CPP plays the role of an equivalent martingale measure in markets with transaction costs. In particular, there exists a 1-to-1 correspondence between the CPP and the EMM . (en) |
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dbr:One-to-one_correspondence dbr:Frictionless_market dbr:Adapted_process dbr:Transaction_costs dbc:Mathematical_finance dbc:Financial_risk_modeling dbr:Solvency_cone dbr:Filtered_probability_space dbr:Martingale_(probability_theory) dbr:Probability_measure dbr:Stochastic_process dbr:Equivalent_martingale_measure |
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dbc:Mathematical_finance dbc:Financial_risk_modeling |
| rdfs:comment |
A consistent pricing process (CPP) is any representation of (frictionless) "prices" of assets in a market. It is a stochastic process in a filtered probability space such that at time the component can be thought of as a price for the asset. Mathematically, a CPP in a market with d-assets is an adapted process in if Z is a martingale with respect to the physical probability measure , and if at all times such that is the solvency cone for the market at time . (en) |
| rdfs:label |
Consistent pricing process (en) |
| owl:sameAs |
freebase:Consistent pricing process wikidata:Consistent pricing process https://global.dbpedia.org/id/4iPhr |
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wikipedia-en:Consistent_pricing_process?oldid=1103408890&ns=0 |
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wikipedia-en:Consistent_pricing_process |
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dbr:CPP |
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dbr:Consistent_pricing_system |
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dbr:CPP dbr:Risk-neutral_measure dbr:Consistent_pricing_system |
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wikipedia-en:Consistent_pricing_process |