On the minimal entropy martingale measure and multinomial lattices with cumulants
Cyrus Seera Ssebugenyi, Ivivi Joseph Mwaniki & Virginie S. Konlack
| Year of publication: |
2013
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|---|---|
| Authors: | Ssebugenyi, Cyrus Seera ; Mwaniki, Ivivi Joseph ; Konlack, Virginie S. |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 359-379
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| Subject: | minimal entropy martingale measure | option pricing | multinomial lattices | Entropie | Entropy | Martingal | Martingale | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010187658