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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書目詳細資料
Main Authors:	Gao, Yuan, Lim, Kian Guan, Ng, Kah Hwa
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2004
主題:	Incomplete markets asset pricing Riemannian manifold cross entropy Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/2545 https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14442764&site=ehost-live
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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