A Benchmark Approach to Filtering in Finance
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#1
08-09-2009, 04:07 PM


The paper proposes the use of the growth optimal portfolio for the construction of nancial market models with unobserved factors that have to be Filtered .This benchmark approach avoids any measure transformation for the pricing of derivatives. The suggested framework allows to measure the reduction of the variance of derivative prices for increasing degrees of available information.

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