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Search: subject:"Min-max entropy problem"
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Esscher trans- form
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Martingale restriction
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Min-max entropy problem
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Option valuation
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Regime-switching risk
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Two-stage pricing procedure
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Lau, John W
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Siu, Tak Kuen
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Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
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Option Pricing When the Regime-Switching Risk is Priced
Siu, Tak Kuen
;
Unim, Hailiang Yang
;
Lau, John W
-
Centre for Research into Industry, Enterprise, Finance …
-
2007
martingale measure and the real-world probability measure over different states. The latter is called a
min-max
entropy
problem
…
Persistent link: https://www.econbiz.de/10005696990
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