The relative entropy in CGMY processes and its applications to finance
Year of publication: |
2007
|
---|---|
Authors: | Kim, Young ; Lee, Jeong |
Published in: |
Computational Statistics. - Springer. - Vol. 66.2007, 2, p. 327-338
|
Publisher: |
Springer |
Subject: | Incomplete market | CGMY process | Relative entropy | Esscher transform | Minimal entropy martingale measure |
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