The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

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Publication:2488497

DOI10.1007/s00780-005-0161-zzbMath1092.91020OpenAlexW4249549160MaRDI QIDQ2488497

Thilo Meyer-Brandis, Fred Espen Benth

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/s00780-005-0161-z




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