Abstract
In this paper we describe a new approach for the valuation problem in incomplete markets with m ≥ 1 stocks which can be used when the available information about the uncertainty model is only a partial conditional probability assessment p. We select a risk neutral probability minimizing a discrepancy measure between p and the convex set of all possible risk neutral probabilities.
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Capotorti, A., Regoli, G., Vattari, F. (2010). Option Pricing in Incomplete Markets Based on Partial Information. In: Borgelt, C., et al. Combining Soft Computing and Statistical Methods in Data Analysis. Advances in Intelligent and Soft Computing, vol 77. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14746-3_10
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DOI: https://doi.org/10.1007/978-3-642-14746-3_10
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-14745-6
Online ISBN: 978-3-642-14746-3
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