scientific article; zbMATH DE number 5671409

zbMATH Open1199.91280MaRDI QIDQ3405337FDOQ3405337

Authors: Haifeng Yan, Limin Liu, Jianqi Yang 

Publication date: 12 February 2010

Title of this publication is not available (Why is that?)

Recommendations

• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
• The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The minimal entropy martingale measure in a market of traded financial and actuarial risks
• On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure
• The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

zbMATH Keywords

stochastic volatility modelutility indifference pricingminimal entropy martingale measureutility indifference hedging

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generalizations of martingales (60G48) Utility theory (91B16) Financial applications of other theories (91G80)

Cited In (19)

• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Title not available (Why is that?)
• Using the minimal entropy martingale measure to valuate real options in multinomial lattices
• Utility indifference pricing and hedging of Stein-Stein model
• Minimum cross entropy formalism of the binomial tree model for option pricing
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure
• The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach
• The equivalent martingale measures for the stochastic volatility model
• An entropy approach to the Stein and Stein model with correlation
• Pricing European options with stochastic volatility under the minimal entropy martingale measure
• The minimal entropy martingale measure in a market of traded financial and actuarial risks
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Entropy martingale optimal transport and nonlinear pricing-hedging duality
• Utility indifference pricing and hedging to stochastic volatility model

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3405337)