Please use this identifier to cite or link to this item:
|Title:||An approximation pricing algorithm in an incomplete market: A differential geometric approach||Authors:||Gao, Y.
|Issue Date:||Nov-2004||Citation:||Gao, Y., Lim, K.G., Ng, K.H. (2004-11). An approximation pricing algorithm in an incomplete market: A differential geometric approach. Finance and Stochastics 8 (4) : 501-523. ScholarBank@NUS Repository. https://doi.org/10.1007/s00780-004-0128-5||Abstract:||The minimal distance equivalent martingale measure (EMM) defined in Goll and Rüschendorf (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 infinite dimensional space of all EMMs by a finite dimensional manifold of EMMs. A Riemannian geometric structure is shown on the manifold. An optimization algorithm on the Riemannian manifold becomes the approximation pricing algorithm. The financial interpretation of the geometry is also given in terms of pricing model risk. © Springer-Verlag 2004.||Source Title:||Finance and Stochastics||URI:||http://scholarbank.nus.edu.sg/handle/10635/102821||ISSN:||09492984||DOI:||10.1007/s00780-004-0128-5|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.