The minimal symmetric entropy martingale measure and valuation problem of incomplete market

DOI10.3969/J.ISSN.1000-2375.2017.04.017MaRDI QIDQ3131597zbMATH OpenFDO

Authors Pengcheng Xia

Publication date 29 January 2018

zbMATH Keywords

incomplete marketutility function\(\kappa \) entropy martingale measure

Mathematics Subject Classification ID

Utility theory (91B16) Martingales and classical analysis (60G46)

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