In this paper we describe a new approach for the valuation problem in incomplete markets with m >= 1 stocks which can be used when the so called real world probability p is a partial conditional probability assessment. We select a risk neutral probability minimizing a discrepancy measure between p and the convex set of all possible risk neutral probabilities.
Option Pricing in Incomplete Markets based on Partial Information
CAPOTORTI, Andrea;REGOLI, Giuliana;VATTARI, FRANCESCA
2010
Abstract
In this paper we describe a new approach for the valuation problem in incomplete markets with m >= 1 stocks which can be used when the so called real world probability p is a partial conditional probability assessment. We select a risk neutral probability minimizing a discrepancy measure between p and the convex set of all possible risk neutral probabilities.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
