The minimal entropy martingale measure of a jump process influenced by jump times (Q1933702)
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scientific article; zbMATH DE number 6130768
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| English | The minimal entropy martingale measure of a jump process influenced by jump times |
scientific article; zbMATH DE number 6130768 |
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The minimal entropy martingale measure of a jump process influenced by jump times (English)
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25 January 2013
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relative entropy
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minimal entropy martingale measure
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exponential martingale
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0.8320852518081665
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0.8287819027900696
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0.818081796169281
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0.8136314749717712
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