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

DOI10.3969/J.ISSN.1000-2375.2017.04.017zbMATH Open1389.91034MaRDI QIDQ3131597FDOQ3131597

Authors: Pengcheng Xia 

Publication date: 29 January 2018

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• scientific article; zbMATH DE number 1494228

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cited In (4)

• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The relations between minimal martingale measure and minimal entropy martingale measure
• The minimal \(\kappa \)-entropy martingale measure
• The minimal entropy measure and an Esscher transform in an incomplete market model

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