THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (Q3166715)

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THE MINIMAL κ-ENTROPY MARTINGALE MEASURE
scientific article

    Statements

    title
    THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (English)
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    author
    Barbara Trivellato
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    publication date
    15 October 2012
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    zbMATH Keywords
    \(\kappa \)-exponential
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    relative \(\kappa \)-entropy
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    relative entropy
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    \(q\)-optimal martingale measure
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    incomplete markets
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    asset pricing
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    cites work
    Q3803964
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    Identifiers

    Mathematics Subject Classification ID
    91B25
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    91B26
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    60G44
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    zbMATH DE Number
    6093594
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    OpenAlex ID
    W2007194382
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