The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728): Difference between revisions
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Revision as of 12:43, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model |
scientific article |
Statements
The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (English)
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14 November 2008
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backward martingale equation
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minimal entropy martingale measure
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optimal principle
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\(p\)-optimal martingale measure
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