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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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We consider the relative entropy for two R-CGMY processes, which are CGMY processes with Y equal to 1, to choose an equivalent martingale measure (EMM) when the underlying asset of a derivative follows a R-CGMY process in the financial market. Since the R-CGMY process leads to an incomplete market, we have to use a proper technique to choose an EMM among a variety of EMMs. In this paper, we derive the closed form expression of the relative entropy for R-CGMY processes.
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참고문헌 (8)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81:637~654
P. Carr / 2002 / The fine structure of asset returns: An empirical investigation / J. Bus 75:305~332
R. Cont / 2004 / Financial Modelling with Jump Processes / Chapman & Hall/CRC
R. Cont / 2004 / Non-parametric calibration of jump-diffusion option pricing models / J. Comput. Financ 7:1~49
Y. S. Kim / 2007 / The relative entropy in CGMY processes and its applications to finance / Math. Methods Oper. Res 66:327~338
P. Carr / 2002 / The fine structure of asset returns: An empirical investigation / J. Bus 75:305~332
R. Cont / 2004 / Financial Modelling with Jump Processes / Chapman & Hall/CRC
R. Cont / 2004 / Non-parametric calibration of jump-diffusion option pricing models / J. Comput. Financ 7:1~49
Y. S. Kim / 2007 / The relative entropy in CGMY processes and its applications to finance / Math. Methods Oper. Res 66:327~338
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