The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model |
scientific article |
Statements
The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (English)
0 references
14 November 2008
0 references
backward martingale equation
0 references
minimal entropy martingale measure
0 references
optimal principle
0 references
\(p\)-optimal martingale measure
0 references
0 references
