Expected utility maximization for exponential Lévy models with option and information processes (Q2967983)
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scientific article; zbMATH DE number 6693311
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| English | Expected utility maximization for exponential Lévy models with option and information processes |
scientific article; zbMATH DE number 6693311 |
Statements
Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes (English)
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9 March 2017
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utility maximization
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exponential Lévy model
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\(f\)-divergence minimal martingale measure
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dual approach
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entropy
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Kullback-Leibler information
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information processes
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0.834811270236969
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0.8241161108016968
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0.8010457158088684
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0.7924436926841736
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