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Research Paper | Mathematics | Kenya | Volume 6 Issue 2, February 2017
Assets Valuation Using a Contingent Claim
Were J [2] | Omolo Ongati [4] | Nyakinda J
Abstract: 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 dierential equation with an unknown price function is formulated. The solution of this PDE gives a unique pricing formula.
Keywords: Continent claim valuation, Option pricing, Martingale representation, Risk-Neutral Valuation and Stochastic Integrals
Edition: Volume 6 Issue 2, February 2017,
Pages: 1460 - 1463
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