On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
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Publication:2904891
DOI10.1007/978-3-0348-0021-1_25zbMath1246.91139arXiv0904.0984OpenAlexW135016973MaRDI QIDQ2904891
Publication date: 24 August 2012
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.0984
stabilityminimal entropy martingale measureincomplete model\(f^{q}\)-martingale measurecall/put option priceEsscher measure
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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