Timeline for Arbitrage free price of a derivative when the price is collected over the lifetime of the derivative
Current License: CC BY-SA 3.0
2 events
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| Jul 13, 2012 at 0:59 | comment | added | user24451 | @mike In my setting, $X_T$ is a lump sum paid to the derivative buyer. My $B_T$ factor should be understand as the risk-free discounting factor. Thank you for pointing this inconsistency. Also, thank you for sharing that you find my question appropriate. | |
| Jul 12, 2012 at 23:54 | history | answered | mike | CC BY-SA 3.0 |