Radon - Nikodym Derivative explained

Discussion in 'SP6' started by Edwin, Jan 5, 2013.

  1. Edwin

    Edwin Member

    Wonderful Epilogue to my search for the USE of a Radon – Nikodym Derivative and it’s difference with the CMG:-

    http://www.wilmott.com/messageview.cfm?catid=8&threadid=40986&FTVAR_MSGDBTABLE=

    I Had earlier on asked myself;-“, in CT8 we successfully changed measures using the Cameron – Martin Girsanov theorem, however ST6 alludes to the Radon – Nikodym Derivative as an additional tool, can anyone please explain what we have achieved by using this process that we did not achieve via the CMG theorem. Also, what are the economic implications of the Radon – Nikodym Derivative?”
     
  2. JohnnySinz

    JohnnySinz Member

    Hi the link is broken, would you he able to provide it again ?
     

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