Pages that link to "Item:Q1872284"

The following pages link to On the minimal entropy martingale measure. (Q1872284):

Displaying 50 items.

• Stability of utility maximization in nonequivalent markets (Q287676) (← links)
• A representation of the relative entropy with respect to a diffusion process in terms of its infinitesimal generator (Q296324) (← links)
• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information (Q424343) (← links)
• Optimal martingale measures for defaultable assets (Q436296) (← links)
• Indifference valuation in incomplete binomial models (Q613732) (← links)
• Utility maximization in models with conditionally independent increments (Q614120) (← links)
• Utility indifference valuation for jump risky assets (Q651335) (← links)
• Optimal static-dynamic hedges for exotic options under convex risk measures (Q734655) (← links)
• \(q\)-optimal martingale measures for discrete time models (Q842819) (← links)
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416) (← links)
• Minimal Hellinger martingale measures of order \(q\) (Q1003340) (← links)
• On \(q\)-optimal martingale measures in exponential Lévy models (Q1003349) (← links)
• Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure (Q1016619) (← links)
• Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332) (← links)
• Utility indifference hedging with exponential additive processes (Q1959132) (← links)
• A minimality property of the minimal martingale measure (Q1962144) (← links)
• Optimal equivalent probability measures under enlarged filtrations (Q2278882) (← links)
• On the structure of general mean-variance hedging strategies (Q2373572) (← links)
• Portfolios and risk premia for the long run (Q2428051) (← links)
• Risk aversion asymptotics for power utility maximization (Q2428507) (← links)
• Exponential stock models driven by tempered stable processes (Q2451785) (← links)
• On convergence to the exponential utility problem (Q2464849) (← links)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
• Minimal entropy preserves the Lévy property: how and why (Q2485828) (← links)
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) (← links)
• Dynamic exponential utility indifference valuation (Q2572403) (← links)
• Monte-Carlo approximation of minimum entropy measures (Q2711896) (← links)
• Minimization with respect to entropy in the problem of finding a martingale measure (Q2780498) (← links)
• A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
• A class of stochastic volatility models and the<i>q</i>-optimal martingale measure (Q2873538) (← links)
• STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES (Q2968273) (← links)
• (Q3006899) (← links)
• Forward indifference valuation of American options (Q3145087) (← links)
• Risk minimizing portfolios and HJBI equations for stochastic differential games (Q3518568) (← links)
• The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728) (← links)
• Exponential models by Orlicz spaces and applications (Q4555284) (← links)
• Options Prices in Incomplete Markets (Q4606385) (← links)
• INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS (Q4635044) (← links)
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE (Q4673670) (← links)
• On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (Q4678744) (← links)
• (Q4940647) (← links)
• The Minimal Entropy Martingale Measure for Exponential Markov Chains (Q5299561) (← links)
• RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS (Q5305594) (← links)
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
• UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION (Q5392602) (← links)
• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE (Q5472774) (← links)
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (Q5484637) (← links)
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (Q5488979) (← links)
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (Q5692939) (← links)