A Benchmark Approach to Filtering in Finance

The paper proposes the use of the growth optimal portfolio for the construction of financial market models with unobserved factors that have to be filtered. This benchmark approach avoids any measure transformation for the pricing of derivatives. The suggested framework allows to measure the reduction of the variance of derivative prices for increasing degrees of available information.

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Year of publication:	2002-03-01
Authors:	Platen, Eckhard ; Runggaldier, Wolfgang
Institutions:	Finance Discipline Group, Business School
Subject:	financial modelling \| filter methods \| benchmark approach \| growth optimal portfolio

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 77
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984563