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Revision as of 00:53, 21 February 2024

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Minimum-Relative-Entropy Calibration of Asset-Pricing Models
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    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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