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

DOI10.1007/S00780-004-0128-5zbMATH Open1060.62120OpenAlexW2064308430WikidataQ115385493 ScholiaQ115385493MaRDI QIDQ1776017FDOQ1776017

Authors: Yuan Gao, Kah Hwa Ng, Kian Guan Lim 

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0128-5

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zbMATH Keywords

incomplete marketRiemannian manifoldasset pricingcross entropy

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Local differential geometry (53B99)

Cited In (1)

• An Algorithm for the Multiperiod Market Equilibrium Model with Geometric Distributed Lag Demand

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