Report on testing and finding the generating functions g of an option pricing mechanism through market data

MaRDI QIDQ3400740zbMATH OpenFDO

Authors

Publication date 5 February 2010

zbMATH Keywords

generating functionbackward stochastic differential equation\(g\)-expectationdomination conditionCME datadynamic pricing mechanismoption market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

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