Relative Entropy Criterion and CAPM-Like Pricing

DOI10.1007/978-3-319-32543-9_19MaRDI QIDQ4606785zbMATH OpenOpenAlexFDO

Authors S. Z. Xanthopoulos

Publication date 9 March 2018

Published in Trends in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-32543-9_19

zbMATH Keywords

CAPMequivalent martingale measureincomplete marketminimal relative entropy criterion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• A general version of the fundamental theorem of asset pricing
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Coherent measures of risk
• Convex measures of risk and trading constraints
• scientific article; zbMATH DE number 4037791 (Why is no real title available?)
• On the Existence of Minimax Martingale Measures
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• Stochastic finance. An introduction in discrete time.
• The mathematics of arbitrage
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The pricing of options and corporate liabilities

Cited in

(2)

• INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS
• PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS

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