Sohns, Moritz - In: Risks : open access journal 13 (2025) 4, pp. 1-27
We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎 …-martingale measure - a concept inspired by the well-known minimal-entropy martingale measure used in option pricing. While the minimal-entropy … martingale measure is commonly used for pricing and hedging, the minimal-entropy 𝜎-martingale measure has not previously been …
