The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
Romuald Hervé Momeya; Zied Ben Salah
| Year of publication: |
2012
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|---|---|
| Authors: | Momeya, Romuald Hervé ; Ben Salah, Zied |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 19.2012, 1, p. 63-98
|
| Subject: | Entropie | Entropy | Martingal | Martingale | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009532269