q-optimal martingale measures for discrete time models
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Cites work
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- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
- Approximation pricing and the variance-optimal martingale measure
- On \(q\)-optimal martingale measures in exponential Lévy models
- On the minimal entropy martingale measure.
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
- Variance-Optimal Hedging in Discrete Time
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