Relative Entropy Criterion and CAPM-Like Pricing

DOI10.1007/978-3-319-32543-9_19zbMATH Open1407.91240OpenAlexW2490116953MaRDI QIDQ4606785FDOQ4606785

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

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zbMATH Keywords

CAPMincomplete marketequivalent martingale measureminimal relative entropy criterion

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Coherent measures of risk
• A general version of the fundamental theorem of asset pricing
• Stochastic finance. An introduction in discrete time.
• Convex measures of risk and trading constraints
• The mathematics of arbitrage
• Title not available (Why is that?)
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• On the Existence of Minimax Martingale Measures
• Pricing, no-arbitrage bounds and robust hedging of instalment options

Cited In (2)

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

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