مرکز منطقه ای اطلاع رساني علوم و فناوري - The minimal entropy measure and an Esscher transform in an incomplete market model

Title of article :

The minimal entropy measure and an Esscher transform in an incomplete market model

Author/Authors :

Michael Monoyios، نويسنده ,

Issue Information :

فصلنامه با شماره پیاپی سال 2007

Pages :

From page :

1070

To page :

1076

Keywords :

Minimal entropy measure , Minimal martingale measure , Esscher transform

Journal title :

Statistics and Probability Letters

Serial Year :

2007

Journal title :

Statistics and Probability Letters

Record number :

141010

Link To Document :