[GLP & MEMM] Pricing Models and Related Problems

DOI10.1142/9789812774637_0004zbMath1186.91198OpenAlexW3121841742MaRDI QIDQ5487018

Yoshio Miyahara

Publication date: 18 September 2006

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812774637_0004

zbMATH Keywords

relative entropycalibrationstable processgeometric Lévy processminimal entropy martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (1)

CV<scp>a</scp> R HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM

This page was built for publication: [GLP & MEMM] Pricing Models and Related Problems