The Minimal Entropy Martingale Measure for Exponential Markov Chains (Q5299561): Difference between revisions

@@ Property / OpenAlex ID @@
+W2046394807
@@ Property / OpenAlex ID: W2046394807 / rank @@
+Normal rank
@@ Property / cites work @@
+Contingent claims valuation when the security price is a combination of an Itō process and a random point process
+Normal rank
@@ Property / cites work @@
+The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
+Normal rank
@@ Property / cites work @@
+Bond Market Structure in the Presence of Marked Point Processes
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Q3915688
@@ Property / cites work: Q3915688 / rank @@
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+On the minimal entropy martingale measure.
@@ Property / cites work: On the minimal entropy martingale measure. / rank @@
+Normal rank
@@ Property / cites work @@
+Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4850018
@@ Property / cites work: Q4850018 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal martingale measures for defaultable assets
+Normal rank
@@ Property / cites work @@
+Sur l'int�grabilit� uniforme des martingales exponentielles
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+The Markov Chain Market
@@ Property / cites work: The Markov Chain Market / rank @@
+Normal rank
@@ Property / cites work @@
+Anomalous PDEs in Markov chains: domains of validity and numerical solutions
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
+Normal rank
@@ Property / cites work @@
+Q2999794
@@ Property / cites work: Q2999794 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5302587
@@ Property / cites work: Q5302587 / rank @@
+Normal rank