As TheInvestmentBiker says: "Provide the gist of the Martingale approach in 10-20 lines ? (Without using any kind of abstract thinking etc. stressing mainly changing the drift/Girsanov etc). This should ideally help somebody to understand what he is actually doing/going to do/why it works."P
Alan, you can drop the constant interest rate assumption by replacing the last term with the value of a zero-coupon bond paying K at the option maturity...should such a thing exist!P
I've added one from plessas...I won't be posting any more new questions until people start answering the four questions that are already up there!!! (But feel free to keep the suggestions coming anyway.)P
Omar, please continue with your complaints in Forum bugs thread. (But when I did a search for author 'Paul' in the 'Technical Forum' I found a couple of hundred.)Now, back to FAQs.Thanks, plessas, everyone please keep the FAQs Forum clean and tidy!P
I did pitch a series idea to the Money Channel a few years ago...they didn't take it up...and shortly afterwards they closed down anyway...their loss!P