An entropy approach to the Stein and Stein model with correlation
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Publication:2488487
DOI10.1007/s00780-004-0149-0zbMath1088.60040MaRDI QIDQ2488487
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0149-0
relative entropy; stochastic volatility; progressive enlargement of filtrations; martingale measures
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
60H05: Stochastic integrals
54C70: Entropy in general topology
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