scientific article; zbMATH DE number 2015867

MaRDI QIDQ4438682zbMATH OpenFDO

Authors

Publication date 9 December 2003

zbMATH Keywords

relative entropymartingale measure\(\varphi\)-divergence distancetrinomial scheme

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Recommendations

• scientific article; zbMATH DE number 2112146
• scientific article; zbMATH DE number 5910337
• The minimal \(\kappa \)-entropy martingale measure
• The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• Minimization of φ-divergences on sets of signed measures
• Φ′-VALUED MARTINGALE MEASURES AND THEIR LIMIT THEOREMS^*
• On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
• On the minimal martingale measure and the möllmer-schweizer decomposition

Cited in

(1)

• scientific article; zbMATH DE number 5910337 (Why is no real title available?)

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 Q4438682)