THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (Q3166715): Difference between revisions
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Revision as of 09:59, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE MINIMAL κ-ENTROPY MARTINGALE MEASURE |
scientific article |
Statements
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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