The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
Year of publication: |
2006
|
---|---|
Authors: | Rheinlander, Thorsten ; Steiger, Gallus |
Institutions: | London School of Economics (LSE) |
Subject: | relative entropy | martingale measures | stochastic volatility |
-
An entropy approach to the Stein and Stein model with correlation
Rheinländer, Thorsten, (2005)
-
The numeraire portfolio for unbounded semimartingales
Becherer, Dirk, (2001)
-
Super-replication in fully incomplete markets
Dolinsky, Yan, (2018)
- More ...
-
Utility indifference hedging with exponential additive processes
Rheinländer, Thorsten, (2010)
-
Utility Indifference Hedging with Exponential Additive Processes
Rheinländer, Thorsten, (2010)
-
Valuation in a simplifiedBarndorff-Nielsen Shepard Model
Steiger, Gallus, (2003)
- More ...