Option pricing based on geometric stable processes and minimal entropy martingale measures
Yoshio Miyahara and Naruhiko Moriwaki
| Year of publication: |
2009
|
|---|---|
| Authors: | Miyahara, Yoshio ; Moriwaki, Naruhiko |
| Published in: |
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering. - Singapore : World Scientific Pub Co Inc, ISBN 981-4273-46-5. - 2009, p. 119-133
|
| Subject: | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Entropie | Entropy | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003871176