Risk-Neutral Valuation and Power Contracts
Tags: #Financial #EconomicsEquation
$$\frac{\mathrm{d}S(t)}{S(t)} = (r - \delta) \mathrm{d}t + \sigma \mathrm{d} \tilt{Z}(t) \\ \tilt{Z}(t) = Z(t) + \phi t \\ V(S(t), t) = e^{-r(T-t)} E^{*}[V(S(T), T) | S(T)] \\ F^{p}_{t, T}(S^{a}) = S^{a}(t) e ^{ (-r + a(r-\delta) + \frac{1}{2} a(a-1)\sigma^{2})(T-t)}$$Latex Code
\frac{\mathrm{d}S(t)}{S(t)} = (r - \delta) \mathrm{d}t + \sigma \mathrm{d} \tilt{Z}(t) \\
\tilt{Z}(t) = Z(t) + \phi t \\
V(S(t), t) = e^{-r(T-t)} E^{*}[V(S(T), T) | S(T)] \\
F^{p}_{t, T}(S^{a}) = S^{a}(t) e ^{ (-r + a(r-\delta) + \frac{1}{2} a(a-1)\sigma^{2})(T-t)}
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Introduction
Equation
Latex Code
\frac{\mathrm{d}S(t)}{S(t)} = (r - \delta) \mathrm{d}t + \sigma \mathrm{d} \tilt{Z}(t) \\
\tilt{Z}(t) = Z(t) + \phi t \\
V(S(t), t) = e^{-r(T-t)} E^{*}[V(S(T), T) | S(T)] \\
F^{p}_{t, T}(S^{a}) = S^{a}(t) e ^{ (-r + a(r-\delta) + \frac{1}{2} a(a-1)\sigma^{2})(T-t)}
Explanation
Latex code for Risk-Neutral Valuation and Power Contracts.
: Payoff a power contract at time T
: Price of the power contract
: Risk-neutral equations
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