A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets

Author: Benth Fred Espen   Karlsen Kenneth Hvistendahl  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.77, Iss.2, 2005-04, pp. : 109-137

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Abstract