An Approximation Pricing Algorithm in an Incomplete Market: A Differential Geometric Approach

An Approximation Pricing Algorithm in an Incomplete Market: A Differential Geometric Approach

The minimal distance equivalent martingale measure (EMM) defined in Goll and Rⁿschendorf (2001) is the arbitrage-free equilibrium pricing measure. This paper provides an algorithm to approximate its density and the fair price of any contingent claim in an incomplete market. We first approximate the...

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Bibliographic Details
Main Authors: Gao, Yuan, Lim, Kian Guan, Ng, Kah Hwa
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Incomplete markets
asset pricing
Riemannian manifold
cross entropy
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2545
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/2545
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