From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes
| Year of publication: |
2004
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|---|---|
| Authors: | Fujiwara, Tsukasa |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 11.2004, 4, p. 367-391
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| Publisher: |
Springer |
| Subject: | Exponential utility | geometric Lévy process | (local) martingale measure | separating measure | minimal entropy martingale measure | optimal strategy |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727073