On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
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Publication:4678744
DOI10.1081/SAP-200044427zbMath1108.91045MaRDI QIDQ4678744
Publication date: 23 May 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
minimal entropy martingale measure; contingent claim pricing; incomplete financial markets; semimartingale backward equation; \(p\)-optimal martingale measure
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