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On the Existence of Minimax Martingale Measures - MaRDI portal

On the Existence of Minimax Martingale Measures (Q4548067)

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scientific article; zbMATH DE number 1786776
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English
On the Existence of Minimax Martingale Measures
scientific article; zbMATH DE number 1786776

    Statements

    title
    On the Existence of Minimax Martingale Measures (English)
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    author
    Fabio Bellini
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    Marco Frittelli
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    publication date
    19 September 2002
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    zbMATH Keywords
    Martingale measure
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    incomplete market
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    viability
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    duality
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    relative entropy
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    Identifiers

    Mathematics Subject Classification ID
    91B26
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    91B16
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    60G42
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    91B28
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    zbMATH DE Number
    1786776
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    OpenAlex ID
    W2052493589
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