On q-optimal martingale measures in exponential Lévy models
Year of publication: |
2008
|
---|---|
Authors: | Bender, Christian ; Niethammer, Christina |
Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 3, p. 381-410
|
Publisher: |
Springer |
Subject: | Stochastic duality | q-optimal martingale measure | Minimal entropy martingale measure | Lévy processes |
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