PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH

DOI10.1142/S0219024909005191zbMath1185.91172OpenAlexW2082211237MaRDI QIDQ5324400

Anna Gerardi, Claudia Ceci

Publication date: 3 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005191

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Application of optimal filtering methods for on-line of queueing network states ⋮ RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ Utility indifference valuation for jump risky assets ⋮ UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ Stochastic control methods: Hedging in a market described by pure jump processes ⋮ A benchmark approach to risk-minimization under partial information

Cites Work

• Calcul stochastique et problèmes de martingales
• Unique characterization of conditional distributions in nonlinear filtering
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• The minimal entropy martingale measures for geometric Lévy processes
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• The variance-optimal martingale measure for continuous processes
• Dynamic exponential utility indifference valuation
• Risk Minimization with Incomplete Information in a Model for High-Frequency Data
• Option Pricing with a General Marked Point Process
• Risk minimizing hedging for a partially observed high frequency data model
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Bond Market Structure in the Presence of Marked Point Processes
• On the Existence of Minimax Martingale Measures
• Exponential Hedging and Entropic Penalties
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Quelques applications de la formule de changement de variables pour les semimartingales

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