Huang, Guanghui; Wan, Jianping - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 10, pp. 2306-2316
A nonparametric approach for European option valuation is proposed in this paper, which adopts a purely jump model to describe the price dynamics of the underlying asset, and the minimal entropy martingale measure for those jumps is used as the pricing measure of this market. A simple Monte...