Convex pricing by a generalized entropy penalty (Q2426607)

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Convex pricing by a generalized entropy penalty
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    title
    Convex pricing by a generalized entropy penalty (English)
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    DOI
    10.1214/07-AAP466
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    author
    Johannes Leitner
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    publication date
    23 April 2008
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    Mathematics Subject Classification ID
    93E20
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    91G80
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    58E17
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    91B24
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    zbMATH DE Number
    5266805
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    zbMATH Keywords
    hedging with vanishing risk
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    generalized entropy
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    quadratic BSDE
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    arXiv ID
    0804.0127
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    cites work
    Q3160493
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    Q3613976
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    Q3957683
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    Q4451073
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    Q4702909
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    Q4344073
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    Q3974816
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    Theory of Random Sets
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    Q4657107
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