Miller, Shane; Platen, Eckhard - Finance Discipline Group, Business School - 2008
Key words and phrases: benchmark approach, real-world pricing, growth optimal
portfolio, minimal market model, zero … market under the benchmark
approach of Heath & Platen (2006); Section 3 discusses the interest rate term
structure via zero …. In the following we summarise
the benchmark approach as developed in Platen & Heath (2006).
We start by describing the …