smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2024SMQ / 62148654222057
A G-BSDE approach to the long-term decomposition of robust pricing kernels
Hyungbin Park / Jaehyun Kim
mathematical finance / stochastic processesResource overview

A G-BSDE approach to the long-term decomposition of robust pricing kernels

Paper2024

by Hyungbin Park, Jaehyun Kim

Tags
mathematical financestochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for stochastic processes and pricing and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  2. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Hyungbin Park, Jaehyun Kim

5