Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Marketsq-fin.PR
Marketron model extended to option markets, solving incomplete market challenges.
problem Tackling the challenge of incomplete markets in option pricing.
method Utility-based pricing approach, dual solution of optimal investment problem, Hamilton-Jacobi-Bellman (HJB) equation, novel calibration method.
result The Marketron model calibrated to option markets can reproduce statistical properties of underlying asset's log-returns.