Advanced Search
MyIDEAS: Login to save this article or follow this journal

A note on the forward measure


Author Info

  • Mark Davis

    (Tokyo-Mitsubishi International plc, 6 Broadgate, London EC2M 2AA, UK)

Registered author(s):


    For a Markov process $x_t$, the forward measure $P^T$ over the time interval $[0,T]$ is defined by the Radon-Nikodym derivative $dP^T/dP = M\exp(-\int_0^Tc(x_s)ds)$, where $c$ is a given non-negative function and $M$ is the normalizing constant. In this paper, the law of $x_t$ under the forward measure is identified when $x_t$ is a diffusion process or, more generally, a continuous-path Markov process.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Access to the full text of the articles in this series is restricted

    File URL:
    Download Restriction: Access to the full text of the articles in this series is restricted

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 2 (1997)
    Issue (Month): 1 ()
    Pages: 19-28

    as in new window
    Handle: RePEc:spr:finsto:v:2:y:1997:i:1:p:19-28

    Note: received: October 1996; final version received: July 1997
    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Risk-neutral measure; Radon-Nikodym derivative; option pricing;

    Find related papers by JEL classification:


    No references listed on IDEAS
    You can help add them by filling out this form.



    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:2:y:1997:i:1:p:19-28. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.