Minimum-Relative-Entropy Calibration of Asset-Pricing Models
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Publication:2703108
DOI10.1142/S0219024998000242zbMath0979.91024OpenAlexW2082028133MaRDI QIDQ2703108
Publication date: 25 February 2002
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024998000242
model calibrationsensitivitiesrisk-neutral probability measureHamitlon-Jacobi-Bellman equationminimum-relative-entropy criterion
Microeconomic theory (price theory and economic markets) (91B24) Probabilistic games; gambling (91A60)
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