Minimum-Relative-Entropy Calibration of Asset-Pricing Models (Q2703108): Difference between revisions
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| Property / author: Marco Avellaneda / rank | |||
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| Property / author: Marco Avellaneda / rank | |||
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| Property / cites work: An equilibrium characterization of the term structure / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024998000242 / rank | |||
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Latest revision as of 09:53, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimum-Relative-Entropy Calibration of Asset-Pricing Models |
scientific article |
Statements
Minimum-Relative-Entropy Calibration of Asset-Pricing Models (English)
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25 February 2002
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model calibration
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minimum-relative-entropy criterion
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sensitivities
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Hamitlon-Jacobi-Bellman equation
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risk-neutral probability measure
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