The minimal entropy martingale measure and the valuation problem in incomplete markets (Q5890187)
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scientific article; zbMATH DE number 1582843
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The minimal entropy martingale measure and the valuation problem in incomplete markets |
scientific article; zbMATH DE number 1582843 |
Statements
29 March 2001
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martingales
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equivalent martingale measures
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relative entropy
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incomplete markets
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asset pricing
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The minimal entropy martingale measure and the valuation problem in incomplete markets (English)
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