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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 …

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Wang, Jr-Yan; Wang, Hsiao-Chuan; Ko, Yi-Chen; Hung, Mao-Wei - In: Review of derivatives research 20 (2017) 2, pp. 91-133

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Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18

. The resulting equivalent symmetric martingale measure set exists if the uncertain volatility in asset prices is driven by …

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Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

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Criens, David; Glau, Kathrin; Grbac, Zorana - In: Applied mathematical finance 24 (2017) 1/2, pp. 23-37

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Deng, Jun; Zou, Bin - In: Operations research letters 49 (2021) 2, pp. 218-225

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Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 847-895

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Xanthopoulos, Stylianos Z. - In: Trends in mathematical economics : dialogues between …, (pp. 369-379). 2016

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Shirai, Yoshihiro - 2022

probability measures $\mathbb{Q}^U$ and $\mathbb{Q}^L$, here referred to as upper/lower spectral martingale measures, where such …

Persistent link: https://www.econbiz.de/10014236067

Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and stochastics 27 (2023) 2, pp. 435-465

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