Q3154985
type: Item
instance of: scholarly article
zbMATH Open document ID: 1073.60052
publication date: 2005-01-14T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2127977
zbMATH Keywords: minimal entropy martingale measure
zbMATH Keywords: utility indifference selling price
zbMATH Keywords: convex duality
zbMATH Keywords: Fenchel theorem
author: Ch. Stricker
MaRDI profile type: Publication
Recommended article: Exponential Hedging and Entropic Penalties
Recommended article: Q3405337
Recommended article: A semimartingale BSDE related to the minimal entropy martingale measure
Recommended article: A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
Recommended article: Q3974816
Recommended article: The Minimal Entropy Martingale Measure for Exponential Markov Chains
Recommended article: MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
Recommended article: On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
Recommended article: Bounds for the utility-indifference prices of non-traded assets in incomplete markets
description: scientific article