The relative entropy in CGMY processes and its applications to finance
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Publication:2472193
DOI10.1007/s00186-006-0097-xzbMath1143.60035MaRDI QIDQ2472193
Publication date: 20 February 2008
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-006-0097-x
60E07: Infinitely divisible distributions; stable distributions
60G51: Processes with independent increments; Lévy processes
60E10: Characteristic functions; other transforms
91B24: Microeconomic theory (price theory and economic markets)
60G44: Martingales with continuous parameter
60G52: Stable stochastic processes
94A17: Measures of information, entropy
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