Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Set OpenAlex properties.
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Existence of Minimax Martingale Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4940095 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential Hedging and Entropic Penalties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4218398 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Note on the inversion theorem / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment with derivative securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic programming and mean-variance hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the minimal martingale measure and the möllmer-schweizer decomposition / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation pricing and the variance-optimal martingale measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: A minimality property of the minimal martingale measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for finance. II: Continuous-time models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER / rank
 
Normal rank
Property / cites work
 
Property / cites work: A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1017/s0956792515000510 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2346309947 / rank
 
Normal rank

Latest revision as of 08:38, 30 July 2024

scientific article; zbMATH DE number 6812551
Language Label Description Also known as
English
Pricing European options with stochastic volatility under the minimal entropy martingale measure
scientific article; zbMATH DE number 6812551

    Statements

    Pricing European options with stochastic volatility under the minimal entropy martingale measure (English)
    0 references
    0 references
    0 references
    24 November 2017
    0 references
    series expansion
    0 references
    minimal entropy martingale measure
    0 references
    expected utility maximization
    0 references
    convergence
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references