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April 2013 qn 9 EMM

P

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 said:
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
Click to expand...

Equivalent martingale measure...ie just the standard risk neutral probability measure used in ct8
 
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
 
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