State Price Deflators and Stochastic Discounting
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چکیده
In this chapter, we describe stochastic discounting and valuation of random cash flows in a discrete time setting. We therefore introduce a consistent multiperiod pricing framework. This consistent multiperiod pricing framework is either based on state price deflators or on equivalent martingale measures. The connection between these two pricing concepts is then described by the market price of risk idea introduced in Sect. 2.4. Before we start with these stochastic valuation models, we explain the fundamental notion and terminology from interest rate modeling.
منابع مشابه
State Price Deflators and Stochastic Discounting
In this chapter, we describe stochastic discounting and valuation of random cash flows in a discrete time setting. We therefore introduce a consistent multiperiod pricing framework. This consistent multiperiod pricing framework is either based on state price deflators or on equivalent martingale measures. The connection between these two pricing concepts is then described by the market price of...
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