On q-optimal martingale measures in exponential Lévy models
Christian Bender; Christina R. Niethammer
| Year of publication: |
2008
|
|---|---|
| Authors: | Bender, Christian ; Niethammer, Christina R. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 12.2008, 3, p. 381-410
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| Subject: | Martingal | Martingale | Messung | Measurement | Entropie | Entropy | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003899201