Little Known Ways To Minimal entropy martingale measures
Under this measure, next page for the transition intensities are obtained. Math. We finally establish the convergence of the minimal κ-entropy martingale measure to the minimal entropy martingale measure as κ tends to 0. Moreover, we provide characterizations of its density as a κ-exponential function. , & Dedu, S.
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Furthermore, it exists and is explicitly determined under some mild conditions of integrability and no arbitrage. Algebra & Number Theory’s (ANT) broad definition of algebra and number theory allows it to print high-quality research covering a wide range of subtopics, including algebraic and arithmetic geometry. If you are a registered author of this item, you may also want to check the “citations” tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. An official Journal of navigate to these guys Institute of Mathematical Statistics.
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Since 1933, the Annals has been edited jointly by Princeton University and the Institute for Advanced Study. Differential equations for the arbitrage-free price are derived. The journal Afrika Statistika publishes applied and theoretical work on research about probability, statistics, operational research, econometrics and related topics. JEL Classification: G10
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We introduce the notion of κ-entropy (κ ∈ ℝ, |κ| ≤ 1), starting from Kaniadakis’ (2001, 2002, 2005) one-parameter deformation of the ordinary exponential function. have a peek at this website there are many equivalent martingale measures associated with the market. Learn more about Institutional subscriptions
Lee, Young
(2009)
The minimal entropy martingale measure and hedging in incomplete markets. To learn more, visit
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The Annals of K-Theory (AKT) welcomes excellent research papers in all areas of K-theory in its many forms. .