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Neural Networks Learning the Radon--Nikodym Derivative: Empirical Option Pricing in Incomplete Markets
In incomplete markets, no-arbitrage (NFLVR) guarantees the existence, not the uniqueness, of an equivalent local martingale measure (ELMM): unhedgeable risks (jumps, stochastic volatility) admit a whole family of equivalent measures, and asset dynamics alone cannot pin down the one the market select
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