A Benchmark Approach to Filtering in Finance
نویسندگان
چکیده
منابع مشابه
A Benchmark Approach to Filtering in Finance
The paper proposes the use of the growth optimal portfolio for pricing and hedging in incomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in cases when there does not exist an equivalent risk neutral martingale measure. The reduction of the variance of derivative prices for increasing degrees of available information...
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ژورنال
عنوان ژورنال: Asia-Pacific Financial Markets
سال: 2004
ISSN: 1387-2834,1573-6946
DOI: 10.1007/s10690-005-4301-4