Minimal entropy-Hellinger martingale measure in incomplete markets
Year of publication: |
2005
|
---|---|
Authors: | Choulli, Tahir ; Stricker, Christophe |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 15.2005, 3, p. 465-490
|
Subject: | Portfolio-Management | Portfolio selection | CAPM | Entropie | Entropy | Unvollkommener Markt | Incomplete market | Theorie | Theory | Martingal | Martingale |
-
The minimal k-entropy martingale measure
Trivellato, Barbara, (2012)
-
The minimal entropy martingale measure and the valuation problem in incomplete markets
Frittelli, Marco, (2000)
-
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled, (2017)
- More ...
-
More on minimal entropy-Hellinger martingale measure
Choulli, Tahir, (2006)
-
Minimal Hellinger martingale measures of order q
Choulli, Tahir, (2007)
-
MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
Choulli, Tahir, (2005)
- More ...