On the minimal entropy martingale measure

Annals of Probability

Volumn 30, Issue 3, 2002, Pages 1003-1038

  Grandits, Peter ^a   Rheinländer, Thorsten ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

BMO martingales; Martingale measures; Relative entropy

Indexed keywords

EID: 0036630438     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1029867119     Document Type: Article

References (26)

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