On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

DOI10.1007/978-3-0348-0021-1_25zbMath1246.91139arXiv0904.0984OpenAlexW135016973MaRDI QIDQ2904891

Lioudmila Vostrikova

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0984

zbMATH Keywords

stabilityminimal entropy martingale measureincomplete model\(f^{q}\)-martingale measurecall/put option priceEsscher measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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