Martingale pricing
id:
martingale-pricing-280-14367563
title:
Martingale pricing
text:
Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality. The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures, interest rate derivatives, credit derivatives, etc. In contrast to the PDE approach to pricing, martingale pricing formulae are in the form of expectations which can be efficiently solved numerically using a Monte Carlo approach. As such, mar
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Martingale_pricing
date created:
date modified:
2023-03-21T15:44:53Z
main entity:
{"identifier":"Q6777132","url":"https://www.wikidata.org/entity/Q6777132"}
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fields total:
13
integrity:
13