BIAGINI, FRANCESCA; WIDENMANN, JAN - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250025-1
innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain … ℙ-numéraire portfolio of the benchmark approach. Under a simple assumption on the ℙ-numéraire portfolio, the model is …