THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (Q3166715)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE MINIMAL κ-ENTROPY MARTINGALE MEASURE |
scientific article |
Statements
THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (English)
0 references
15 October 2012
0 references
\(\kappa \)-exponential
0 references
relative \(\kappa \)-entropy
0 references
relative entropy
0 references
\(q\)-optimal martingale measure
0 references
incomplete markets
0 references
asset pricing
0 references
0 references
0 references
0 references
0 references
0 references
