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  • Search: subject:"q-optimal martingale measure"
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q-optimal martingale measure 5 Incomplete market 2 asset pricing 2 incomplete markets 2 relative entropy 2 relative κ-entropy 2 κ-exponential 2 CAPM 1 Entropie 1 Entropy 1 Lévy processes 1 Martingal 1 Martingale 1 Martingale measure 1 Measurement 1 Messung 1 Minimal entropy martingale measure 1 Portfolio selection 1 Portfolio-Management 1 Semimartingales 1 Stochastic duality 1 Theorie 1 Theory 1 Unvollkommener Markt 1 mathematical finance 1 option pricing 1 stochastic integrals 1
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Article 5
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 4 English 1
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ARAI, TAKUJI 1 Arai, Takuji 1 Bender, Christian 1 Kawaguchi, Muneki 1 Niethammer, Christina 1 TRIVELLATO, BARBARA 1 Trivellato, Barbara 1
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International Journal of Theoretical and Applied Finance (IJTAF) 2 Asia-Pacific Financial Markets 1 Finance and Stochastics 1 International journal of theoretical and applied finance 1
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RePEc 4 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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THE MINIMAL κ-ENTROPY MARTINGALE MEASURE
TRIVELLATO, BARBARA - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250038-1
We introduce the notion of κ-entropy (κ ∈ ℝ, |κ| ≤ 1), starting from Kaniadakis' (2001, 2002, 2005) one-parameter deformation of the ordinary exponential function. The κ-entropy is in duality with a new class of utility functions which are close to the exponential utility functions,...
Persistent link: https://www.econbiz.de/10011011274
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The minimal k-entropy martingale measure
Trivellato, Barbara - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22
Persistent link: https://www.econbiz.de/10009672603
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina - In: Finance and Stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10005390702
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$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
ARAI, TAKUJI - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 869-888
The aim of this paper is to give an extension of the mean-variance hedging problem to the $\mathcal{L}^p$-setting, where 1 p ∞. Remark that the mean-variance hedging is corresponding to the case where p = 2. Firstly, we prove that the unique existence of the optimal hedging strategy in the...
Persistent link: https://www.econbiz.de/10004971770
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q-Optimal Martingale Measures for Discrete Time Models
Arai, Takuji; Kawaguchi, Muneki - In: Asia-Pacific Financial Markets 15 (2008) 3, pp. 155-173
Persistent link: https://www.econbiz.de/10005727076
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