The minimal entropy martingale measure of a jump process influenced by jump times
type: Item
instance of: scholarly article
title: The minimal entropy martingale measure of a jump process influenced by jump times
zbMATH Open document ID: 1261.60081
author: Jun Yan
author: Fuqing Gao
published in: Statistics \& Probability Letters
publication date: 2013-01-25T00:00:00Z
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6130768
zbMATH Keywords: relative entropy
zbMATH Keywords: minimal entropy martingale measure
zbMATH Keywords: exponential martingale
MaRDI profile type: Publication
full work available at URL: j.spl.2012.09.001
OpenAlex ID: W2042171534
DOI: 10.1016/J.SPL.2012.09.001
description: scientific article; zbMATH DE number 6130768