- Joined
- 8/29/13
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Hi everyone:
I've got a question of martingale theory. It looks like I never get it. Under risk neutral assumption the discounted stock price without dividends is a martingale process. But WHY with dividends paying it's not . I know with dividends the return (or called drift) is (the risk free rate - dividend rate).
Many thanks.
I've got a question of martingale theory. It looks like I never get it. Under risk neutral assumption the discounted stock price without dividends is a martingale process. But WHY with dividends paying it's not . I know with dividends the return (or called drift) is (the risk free rate - dividend rate).
Many thanks.
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