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

zbMATH Open1187.91209MaRDI QIDQ3400740FDOQ3400740

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Publication date: 5 February 2010

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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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