Abstract
To better understand the Black–Scholes world and to be able to handle more complex instruments, we will now continue with diffusion processes and some theorems. We will in this chapter explain the concept of changing measure and relative pricing. By changing measure we can value any securities relative to a given security. In most cases we value relative the money-market account.
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Röman, J.R.M. (2017). Black–Scholes – Diffusion Models. In: Analytical Finance: Volume I. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-34027-2_5
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DOI: https://doi.org/10.1007/978-3-319-34027-2_5
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Publisher Name: Palgrave Macmillan, Cham
Print ISBN: 978-3-319-34026-5
Online ISBN: 978-3-319-34027-2
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