The Minimal Entropy Martingale Measure for Exponential Markov Chains (Q5299561)
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scientific article; zbMATH DE number 6181230
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Minimal Entropy Martingale Measure for Exponential Markov Chains |
scientific article; zbMATH DE number 6181230 |
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The Minimal Entropy Martingale Measure for Exponential Markov Chains (English)
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26 June 2013
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continuous-time Markov chain
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relative entropy
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martingale measure
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intensity matrix
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absolutely continuous martingale measure
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pricing and hedging
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