Suppose that the measure PB(T) in Section 26.7 is the same in the real world and the

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Suppose that the measure P\B(T) in Section 26.7 is the same in the real world and the riskneutral world. Is the same true of the Gaussian copula measure, pAB?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Suppose that the measure P\B(T) in Section 26.7 is the same in the real world and the riskneutral world. Is the same true of the Gaussian copula measure, pAB?
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Suppose that the measure PB(T) in Section 26.7 is the same in the real world and the

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Options Futures And Other Derivatives

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