Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578): Difference between revisions
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Revision as of 16:31, 5 March 2024
scientific article; zbMATH DE number 6812551
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing European options with stochastic volatility under the minimal entropy martingale measure |
scientific article; zbMATH DE number 6812551 |
Statements
Pricing European options with stochastic volatility under the minimal entropy martingale measure (English)
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24 November 2017
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series expansion
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minimal entropy martingale measure
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expected utility maximization
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convergence
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