On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
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Cites work
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- On the minimal entropy martingale measure.
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- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
- The variance-optimal martingale measure for continuous processes
Cited in
(20)- scientific article; zbMATH DE number 2127977 (Why is no real title available?)
- scientific article; zbMATH DE number 2015867 (Why is no real title available?)
- Deformed exponentials and applications to finance
- scientific article; zbMATH DE number 2062295 (Why is no real title available?)
- From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
- The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
- Risk aversion asymptotics for power utility maximization
- Derivatives pricing viap-optimal martingale measures: some extreme cases
- The \(p\)-optimal martingale measure in continuous trading models
- The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
- Robust consumption-investment problems with random market coefficients
- Exponential stock models driven by tempered stable processes
- The minimal \(\kappa \)-entropy martingale measure
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- On the minimal entropy martingale measure.
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- Minimization with respect to entropy in the problem of finding a martingale measure
- On convergence to the exponential utility problem
- Power utility maximization under partial information: some convergence results
- Stability of the exponential utility maximization problem with respect to preferences
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