The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure

Bernoulli

Volumn 5, Issue 2, 1999, Pages 225-247

  Grandits, Peter ^a  

^a UNIVERSITY OF VIENNA   (Austria)

Author keywords

Entropy; Martingale measures

Indexed keywords

EID: 0005331728     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.2307/3318433     Document Type: Article

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