[GLP & MEMM] Pricing Models and Related Problems

DOI10.1142/9789812774637_0004zbMATH Open1186.91198OpenAlexW3121841742MaRDI QIDQ5487018FDOQ5487018

Yoshio Miyahara

Publication date: 18 September 2006

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812774637_0004

zbMATH Keywords

calibrationrelative entropystable processminimal entropy martingale measuregeometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (1)

• CVaR hedging using quantization-based stochastic approximation algorithm

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