A minimality property of the minimal martingale measure
type: Item
instance of: scholarly article
title: A minimality property of the minimal martingale measure
zbMATH Open document ID: 0984.60049
DOI: 10.1016/S0167-7152(98)00180-1
author: Martin Schweizer
published in: Statistics \& Probability Letters
publication date: 2002-05-14T00:00:00Z
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1395103
zbMATH Keywords: minimal martingale measure
zbMATH Keywords: relative entropy
zbMATH Keywords: equivalent martingale measures
MaRDI profile type: Publication
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full work available at URL: s0167-7152(98)00180-1
OpenAlex ID: W2045697620
Wikidata QID: Q127942794
description: scientific article; zbMATH DE number 1395103