The Minimal Entropy and the Convergence of the p-Optimal Martingale Measures in a General Jump Model

ISSN： 0736-2994

Source： Stochastic Analysis and Applications, Vol.26, Iss.5, 2008-09, pp. : 941-977

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff-Nielsen-Shephard Stochastic Volatility Model

By Benth Fred Espen Groth Martin

Stochastic Analysis and Applications, Vol. 27, Iss. 5, 2009-09 ,pp. : 875-896

Taylor & Francis Ltd

Access to resources Recommend Favorite

On the Convergence of Optimal Measures

By Bloom T. Bos L. Levenberg N. Waldron S.

Constructive Approximation, Vol. 32, Iss. 1, 2010-08 ,pp. : 159-179

Springer Publishing Company

Access to resources Recommend Favorite

CELL DECOMPOSITION AND CLASSIFICATION OF DEFINABLE SETS IN p-OPTIMAL FIELDS

The Journal of Symbolic Logic, Vol. 82, Iss. 1, 2017-01 ,pp. : 120-136

Cambridge University Press

Access to resources Recommend Favorite

OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL

ANZIAM Journal, Vol. 52, Iss. 3, 2011-10 ,pp. : 250-262

Cambridge University Press

Access to resources Recommend Favorite

A General Benchmark Model for Stochastic Jump Sizes

By Christensen Morten

Stochastic Analysis and Applications, Vol. 23, Iss. 5, 2005-01 ,pp. : 1017-1044

Taylor & Francis Ltd

Access to resources Recommend Favorite