An entropy approach to the Stein and Stein model with correlation

DOI10.1007/s00780-004-0149-0zbMath1088.60040OpenAlexW2020513063MaRDI QIDQ2488487

Thorsten Rheinländer

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0149-0

zbMATH Keywords

relative entropystochastic volatilityprogressive enlargement of filtrationsmartingale measures

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Entropy in general topology (54C70)

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