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Why don't you share it in the 'downloads' section, so the rest of the quantnet-world can see what Harrison & Kreps actually proved?I don't know the answer to Josu's question, but I do know that historically, 'taking the risk-neutral expectation' was used as a rule rather than being derived from something. Bachelier's "L'esperance mathematique du speculateur est nul" led him to price options as we now know it, taking expectation with respect to some artificial measure. He used (plain) brownian motion as a model of stock price. On the other hand, I think he was lucky, because he used "true" (forward) prices instead of spot prices (similar as Black did), as he didn't mention "risk free interest rate" in his derivation, rather he used an equilibrium approach.If anyone has his thesis in pdf, please share it! Thanks.
Why don't you share it in the 'downloads' section, so the rest of the quantnet-world can see what Harrison & Kreps actually proved?
I don't know the answer to Josu's question, but I do know that historically, 'taking the risk-neutral expectation' was used as a rule rather than being derived from something. Bachelier's "L'esperance mathematique du speculateur est nul" led him to price options as we now know it, taking expectation with respect to some artificial measure. He used (plain) brownian motion as a model of stock price. On the other hand, I think he was lucky, because he used "true" (forward) prices instead of spot prices (similar as Black did), as he didn't mention "risk free interest rate" in his derivation, rather he used an equilibrium approach.
If anyone has his thesis in pdf, please share it! Thanks.
