On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (Q4678744): Difference between revisions
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scientific article; zbMATH DE number 2171196
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure |
scientific article; zbMATH DE number 2171196 |
Statements
On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (English)
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23 May 2005
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contingent claim pricing
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incomplete financial markets
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minimal entropy martingale measure
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\(p\)-optimal martingale measure
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semimartingale backward equation
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