Option pricing based on geometric stable processes and minimal entropy martingale measures
Year of publication: |
2009
|
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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 | Unvollkommener Markt | Incomplete market |
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