THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (Q3166715): Difference between revisions

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Latest revision as of 10:00, 30 July 2024

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THE MINIMAL κ-ENTROPY MARTINGALE MEASURE
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    THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (English)
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    15 October 2012
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    \(\kappa \)-exponential
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    relative \(\kappa \)-entropy
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    relative entropy
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    \(q\)-optimal martingale measure
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    incomplete markets
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    asset pricing
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