Some parameter estimation problems for hypoelliptic homogeneous Gaussian diffusions
Correlations and bounds for stochastic volatility models
Indifference valuation in incomplete binomial models
The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset as well as the claim’s payoff. Two pricing algorithms are constructed which use, respectively, the minimal martingale and the minimal entropy measures. We study in detail the interplay among the different kinds of...
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