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Search: subject:"Minimal entropy"
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minimal entropy martingale measure
11
Minimal entropy martingale measure
10
Entropie
8
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8
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8
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8
Option pricing theory
7
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5
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4
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3
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3
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3
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2
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1
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1
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1
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RePEc
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1
On skewed, leptokurtic returns and pentanomial lattice option valuation via
minimal
entropy
martingale measure
Mwaniki, Ivivi J.
- In:
Cogent Economics & Finance
5
(
2017
)
1
,
pp. 1-16
measure P.
Minimal
entropy
martingale measure (MEMM) is used to value European call option with a view of comparing the …
Persistent link: https://www.econbiz.de/10011988781
Saved in:
2
On skewed, leptokurtic returns and pentanomial lattice option valuation via
minimal
entropy
martingale measure
Mwaniki, Ivivi Joseph
- In:
Cogent economics & finance
5
(
2017
)
1
,
pp. 1-16
measure P.
Minimal
entropy
martingale measure (MEMM) is used to value European call option with a view of comparing the …
Persistent link: https://www.econbiz.de/10011883226
Saved in:
3
The
Minimal
Entropy
Martingale Measure in a Market of Traded Financial and Actuarial Risks
Dhaene, Jan
;
Stassen, Ben
;
Devolder, Pierre
;
Vellekoop, …
-
2014
the
minimal
entropy
martingale measure in a market where securities are traded with payoffs depending on two types of …
Persistent link: https://www.econbiz.de/10010491335
Saved in:
4
Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
-
2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
Saved in:
5
The
minimal
entropy
martingale measure in a market of traded financial and actuarial risks
Dhaene, Jan
;
Stassen, Ben
;
Devolder, Pierre
;
Vellekoop, …
-
2014
determine the
minimal
entropy
martingale measure in a market where securities are traded with payoffs depending on two types of …
Persistent link: https://www.econbiz.de/10010391547
Saved in:
6
The
Minimal
Entropy
Martingale Measure in a Market of Traded Financial and Actuarial Risks
Dhaene, Jan
;
Stassen, Ben
;
Devolder, Pierre
;
Vellekoop, …
-
Tinbergen Instituut
-
2014
the
minimal
entropy
martingale measure in a market where securities are traded with payoffs depending on two types of …
Persistent link: https://www.econbiz.de/10011255788
Saved in:
7
Option pricing with discrete time jump processes
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
HAL
-
2012
transform and the
Minimal
Entropy
Martingale Measure. We finally assess empirically the performance of this modelling approach …
Persistent link: https://www.econbiz.de/10010635226
Saved in:
8
Utility indifference pricing and hedging for structured contracts in energy markets
Callegaro, Giorgia
;
Campi, Luciano
;
Giusto, Valeria
; …
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 265-303
Persistent link: https://www.econbiz.de/10011714437
Saved in:
9
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
Saved in:
10
Option pricing with discrete time jump processes.
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
and the
Minimal
Entropy
Martingale Measure. We finally assess empirically the performance of this modelling approach …
Persistent link: https://www.econbiz.de/10009225975
Saved in:
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