A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets-Reference-Cited by-同舟云学术

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

Published:2005-04 Issue:2 Volume:77 Page:109-137
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Benth Fred Espen¹²,Karlsen ¶ Kenneth Hvistendahl¹

Affiliation:

1. a Department of Mathematics , Centre of Mathematics for Applications, University of Oslo , P.O. Box 1053, Blindern, N-0316, Oslo, Norway

2. b Department of Economics and Business Administration , Agder University College , Serviceboks 422, N-4604, Kristiansand, Norway

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10451120500031736

Reference38 articles.

1. Option pricing with transaction costs and a nonlinear Black-Scholes equation

2. Utility–indifference hedging and valuation via reaction–diffusion systems

3. On the Existence of Minimax Martingale Measures

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