On the minimal entropy martingale measure
Grandits, P. & Rheinlander, T.
(2002).
On the minimal entropy martingale measure.
Annals of Probability,
30(3), 1003-1038.
https://doi.org/10.1214/aop/1029867119
| Item Type | Article |
|---|---|
| Copyright holders | © 2002 Institute of Mathematical Statistics |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1214/aop/1029867119 |
| Date Deposited | 28 Oct 2008 |
| URI | https://researchonline.lse.ac.uk/id/eprint/16348 |
Explore Further
- https://www.scopus.com/pages/publications/0036630438 (Scopus publication)
- http://www.imstat.org/aop/ (Official URL)