Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling (Q2132786): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.3934/math.2020020 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2987696139 / rank | |||
Normal rank |
Revision as of 02:33, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling |
scientific article |
Statements
Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling (English)
0 references
28 April 2022
0 references
entropy
0 references
minimal entropy martingale
0 references
interest rate models
0 references
semi-Markov processes
0 references
risk neutral density
0 references