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Mathematical Finance

Volumn 12, Issue 1, 2002, Pages 1-21

On the existence of minimax martingale measures

(2) Bellini, Fabio a Frittelli, Marco a

a UNIVERSITY OF MILANO BICOCCA (Italy)

Author keywords

Asset pricing; Duality; Incomplete markets; Martingale measures; Relative entropy; Utility maximization; Viability

Indexed keywords

EID: 0036002688 PISSN: 09601627 EISSN: None Source Type: Journal
DOI: 10.1111/1467-9965.00001 Document Type: Article

Times cited : (103)

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