ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS
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Publication:5245892
DOI10.1142/S0219024915500077zbMath1337.91101MaRDI QIDQ5245892
Monique Jeanblanc-Picqué, Marta Leniec
Publication date: 15 April 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
incomplete market; pricing; minimal martingale measures; \(f\)-divergence; equivalent martingale measures; progressive enlargement; initial enlargement