文件名称：A purely data driven method for European option valuation (2006年)
文件大小：189KB
文件格式：PDF
更新时间：2024-05-13 01:07:15
自然科学 论文
An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is used as the pricing measure to evalua