A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
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Publication:5312715
DOI10.1080/10451120500031736zbMath1115.91025OpenAlexW1989329198MaRDI QIDQ5312715
Fred Espen Benth, Kenneth Hvistendahl Karlsen
Publication date: 25 August 2005
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10636
incomplete marketstochastic volatilityutility optimizationpricing of contingent claimsminimal entropy martingale measuresemilinear PDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)
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