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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2545 https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14442764&site=ehost-live |
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| Institution: | Singapore Management University |
| Language: | English |