Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach

This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory. The financial market is seen as an information processing system, which optimizes an information functional. An optimization problem is const...

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Detalles Bibliográficos
Autor principal: Lindgren, Jussi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7712322/
https://www.ncbi.nlm.nih.gov/pubmed/33287050
http://dx.doi.org/10.3390/e22111283

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7712322/
https://www.ncbi.nlm.nih.gov/pubmed/33287050
http://dx.doi.org/10.3390/e22111283

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