A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715)
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scientific article; zbMATH DE number 2198807
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets |
scientific article; zbMATH DE number 2198807 |
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A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (English)
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25 August 2005
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stochastic volatility
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incomplete market
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pricing of contingent claims
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minimal entropy martingale measure
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utility optimization
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semilinear PDE
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