An approximation pricing algorithm in an incomplete market: A differential geometric approach

Finance and Stochastics

Volumn 8, Issue 4, 2004, Pages 501-523

  Gao, Yuan ^a   Lim, Kian Guan ^b   Ng, Kah Hwa ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Asset pricing; Cross entropy; Incomplete markets; Riemannian manifold

Indexed keywords

EID: 24144502865     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0128-5     Document Type: Article

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