Convex ordering of Esscher and minimal entropy martingale measures for discrete time models (Q2888088)
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scientific article; zbMATH DE number 6039564
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| English | Convex ordering of Esscher and minimal entropy martingale measures for discrete time models |
scientific article; zbMATH DE number 6039564 |
Statements
30 May 2012
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convex order
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Esscher transform
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minimal entropy martingale measure
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0.7857755422592163
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0.78171306848526
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0.7651948928833008
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0.7556706070899963
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0.7551290988922119
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