MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS-Reference-Cited by-同舟云学术

MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

Published:2005-07 Issue:3 Volume:15 Page:465-490
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Choulli Tahir,Stricker Christophe

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2005.00229.x/fullpdf

Reference44 articles.

1. D.Becherer(2001 ): Rational Hedging and Valuation with Utility-Based Preferences , Rational Hedging and Valuation with Utility-Based Preferences , Technical University of Berlin.

2. On the Existence of Minimax Martingale Measures

3. F. E.Benth, and T.Meyer-Brandis(2004 ): Indifference Pricing and the Minimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps , Preprint.

4. Utility maximization on the real line under proportional transaction costs

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