The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728)
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scientific article; zbMATH DE number 5366097
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| English | The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model |
scientific article; zbMATH DE number 5366097 |
Statements
The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (English)
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14 November 2008
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backward martingale equation
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minimal entropy martingale measure
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optimal principle
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\(p\)-optimal martingale measure
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0.85453695
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0.8461584
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0.83399713
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0.81931776
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0.8164631
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0.81344485
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