Minimal Relative Entropy Martingale Measures and their Applications to Option Pricing Theory
نویسنده
چکیده
In this paper we review the relative entropy meathods for the option pricing theory in the incomplete markets. First we summarize the known results with respect to the existence of minimal relative entropy martingale measure (MEMM), and then we give several examples of the pricing models related to the MEMM (for example, the [Geometric Lévy & MEMM] pricing model). After that we explain the mathematical and (or) financial problems relating to our models.
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تاریخ انتشار 2000