April 2013 qn 9 EMM

Discussion in 'CT8' started by pinkpoodle2820, Apr 21, 2014.

  1. pinkpoodle2820

    pinkpoodle2820 Member

    Hi, I don't understand what this question is asking for. What does "where Q is the EMM" mean? I'm guessing its: expected something something, but I can't work out what.

    thanks
     
    pinkpoodle2820, Apr 21, 2014
    #1
  2. hatton02

    hatton02 Member

    Equivalent martingale measure...ie just the standard risk neutral probability measure used in ct8
     
    hatton02, Apr 21, 2014
    #2
  3. Graham Aylott

    Graham Aylott Member

    Yes, the equivalent martingale measure is just the set of risk-neutral "Q" probabilities.

    The phrase is used in Chapter 15 of the Course Notes.

    Graham
     
    Graham Aylott, Apr 22, 2014
    #3

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