On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (Q2904891): Difference between revisions

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Latest revision as of 13:49, 5 July 2024

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On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
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    On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (English)
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    24 August 2012
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    stability
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    call/put option price
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    incomplete model
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    minimal entropy martingale measure
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    Esscher measure
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    \(f^{q}\)-martingale measure
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