The minimal entropy martingale measure of a jump process influenced by jump times (Q1933702)

From MaRDI portal
scientific article
Language Label Description Also known as
English
The minimal entropy martingale measure of a jump process influenced by jump times
scientific article

    Statements

    The minimal entropy martingale measure of a jump process influenced by jump times (English)
    0 references
    0 references
    0 references
    25 January 2013
    0 references
    relative entropy
    0 references
    minimal entropy martingale measure
    0 references
    exponential martingale
    0 references

    Identifiers