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

DOI10.1007/s00780-004-0128-5zbMath1060.62120OpenAlexW2064308430WikidataQ115385493 ScholiaQ115385493MaRDI QIDQ1776017

Kah Hwa Ng, Yuan Gao, 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

zbMATH Keywords

asset pricingincomplete marketRiemannian manifoldcross entropy

Mathematics Subject Classification ID

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