On the minimal entropy martingale measure and multinomial lattices with cumulants
Year of publication: |
2013
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Authors: | Ssebugenyi, Cyrus Seera ; Mwaniki, Ivivi Joseph ; Konlack, Virginie S. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 359-379
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Subject: | minimal entropy martingale measure | option pricing | multinomial lattices | Entropie | Entropy | Martingal | Martingale | Optionspreistheorie | Option pricing theory | CAPM |
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