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A semimartingale BSDE related to the minimal entropy martingale measure
Mania, Michael; Santacroce, Marina; Tevzadze, Revaz - In: Finance and stochastics 7 (2003) 3, pp. 385-402
Persistent link: https://www.econbiz.de/10001771742
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Maximum entropy distributions inferred from option portfolios on an asset
Neri, Cassio; Schneider, Lorenz - In: Finance and stochastics 16 (2012) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10009544666
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Minimax theorems for American options without time-consistency
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; … - In: Finance and stochastics 23 (2019) 1, pp. 209-238
Persistent link: https://www.econbiz.de/10012023712
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Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro; Frittelli, Marco - In: Finance and stochastics 27 (2023) 2, pp. 255-304
Persistent link: https://www.econbiz.de/10014253636
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Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien - In: Finance and stochastics 28 (2024) 1, pp. 27-79
Persistent link: https://www.econbiz.de/10014447575