scientific article; zbMATH DE number 1494228
From MaRDI portal
Publication:4497382
Recommendations
- The relations between minimal martingale measure and minimal entropy martingale measure
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- The minimal symmetric \(\kappa \) entropy martingale measure and valuation problem of incomplete market
- Minimal martingale measures for discrete-time incomplete financial markets
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
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- Reviewing alternative characterizations of Meixner process
- On the existence of martingale measures satisfying the weakened condition of noncoincidence of barycenters in the case of countable probability space
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Martingale measures in the market with restricted information
- On the Existence of Minimax Martingale Measures
- 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
- scientific article; zbMATH DE number 5638039 (Why is no real title available?)
- 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
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 Q4497382)