A purely data driven method for European option valuation
本文档由 飞亚 分享于2011-01-01 03:31
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 evaluate European call options by a Monte Carlo simulation method.The proposed method is a purely data driven valuation method without any d..
君,已阅读到文档的结尾了呢~~