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

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Latest revision as of 09:38, 30 July 2024

scientific article; zbMATH DE number 6812551
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English
Pricing European options with stochastic volatility under the minimal entropy martingale measure
scientific article; zbMATH DE number 6812551

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