, honest times, growth optimal portfolio, benchmark approach, real world pricing, nonnegative local martingales. 1Institut f … Introduction In this paper we consider a general class of jump-difiusion flnancial market models under the benchmark approach …. 41, 19{34. Platen, E. & D. Heath (2006). A Benchmark Approach to Quantitative Finance. Springer Finance. Springer …

can be captured under the proposed benchmark approach, where the numeraire portfolio represents the benchmark. … can be captured under the proposed benchmark approach, where the numeraire portfolio represents the benchmark. JEL … of one price, law of the minimal price, benchmark approach, derivative pricing, numeraire portfolio, asset pricing …

Key words and phrases: benchmark approach, real-world pricing, growth optimal portfolio, minimal market model, zero … market under the benchmark approach of Heath & Platen (2006); Section 3 discusses the interest rate term structure via zero …. In the following we summarise the benchmark approach as developed in Platen & Heath (2006). We start by describing the …

). P is the real-world probability measure. In the following we summarise the benchmark approach as developed in Platen … market observable data, such as the volatility of the MSCI Index, can be used in conjunction with the benchmark approach of …,j ∈ {0,1,...,d}. In this respect, one observes that under the benchmark approach, an exchange price represents more than the …

The goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the benchmark approach in a …

applications of these methods in finance and economics we use the benchmark approach. Strong approximation methods are illustrated …