TITLE

A Benchmark Approach to Filtering in Finance

AUTHOR(S)
Platen, Eckhard; Runggaldier, Wolfgang
PUB. DATE
March 2004
SOURCE
Asia-Pacific Financial Markets;Mar2004, Vol. 11 Issue 1, p79
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The paper proposes the use of the growth optimal portfolio for pricing and hedging in incomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in cases when there does not exist an equivalent risk neutral martingale measure. The reduction of the variance of derivative prices for increasing degrees of available information is measured.
ACCESSION #
17774098

 

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