scientific article; zbMATH DE number 1494228

zbMATH Open1147.91321MaRDI QIDQ4497382FDOQ4497382

Authors: Yoshio Miyahara 

Publication date: 22 August 2000

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

Recommendations

• The relations between minimal martingale measure and minimal entropy martingale measure
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• The minimal symmetric \(\kappa \) entropy martingale measure and valuation problem of incomplete market
• Minimal martingale measures for discrete-time incomplete financial markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Generalizations of martingales (60G48)

Cited In (22)

• Guarantee valuation in notional defined contribution pension systems
• Catastrophe risk bonds with applications to earthquakes
• The minimal symmetric \(\kappa \) entropy martingale measure and valuation problem of incomplete market
• On multi-period market extension with the uniformly equivalent martingale measure
• On the existence of martingale measures satisfying the weakened condition of noncoincidence of barycenters in the case of countable probability space
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• Reviewing alternative characterizations of Meixner process
• Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
• On the Existence of Minimax Martingale Measures
• Martingale measures in the market with restricted information
• Application of Moore-Penrose inverse in deciding the minimal martingale measure
• INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS
• Martingale densities for general asset prices
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Title not available (Why is that?)
• Description martingale measures for a single evolution of risky assets
• Pricing participating policies under the Meixner process and stochastic volatility
• Backward stochastic partial differential equations related to utility maximization and hedging
• Regime-switching risk: to price or not to price?
• Empirical study on option pricing under Markov regime switching economics
• Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
• A minimality property of the minimal martingale measure

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