LRNVRLocally Risk-Neutral Valuation Relationship (mathematical modeling)
Copyright 1988-2018, All rights reserved.
References in periodicals archive ?
In option pricing under the GARCH framework, Duan (1995) used the equilibrium approach and the concept of locally risk-neutral relationship (LRNVR) in which the conditional variances under the physical and risk-neutral measures are equal; Siu et al.