On the Existence of Minimax Martingale Measures
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Publication:4548067
DOI10.1111/1467-9965.00001zbMATH Open1014.91031OpenAlexW2052493589MaRDI QIDQ4548067FDOQ4548067
Authors: Fabio Bellini, Marco Frittelli 
Publication date: 19 September 2002
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00001
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- Existence of an equilibrium with limited participation
- An analytical characterization for an optimal change of Gaussian measures
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- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Reviewing alternative characterizations of Meixner process
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- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- Indifference price with general semimartingales
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
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- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
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- Risk-neutral measures and pricing for a pure jump price process
- On the dual problem of utility maximization in incomplete markets
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- Approximate indifference pricing in exponential Lévy models
- Market free lunch and large financial markets
- Risk measure pricing and hedging in incomplete markets
- A revised option pricing formula with the underlying being banned from short selling
- On the super replication price of unbounded claims
- Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method
- Risk measure pricing and hedging in the presence of transaction costs
- Utility maximization under a shortfall risk constraint
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