Search Results - subject:"Minimal entropy"

Minimal entropy and entropic risk measures : a unified framework via relative entropy

Sohns, Moritz - In: Risks : open access journal 13 (2025) 4, pp. 1-27

We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎 …-martingale measure - a concept inspired by the well-known minimal-entropy martingale measure used in option pricing. While the minimal-entropy … martingale measure is commonly used for pricing and hedging, the minimal-entropy 𝜎-martingale measure has not previously been …

Persistent link: https://www.econbiz.de/10015408397

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi J. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

measure P. Minimal entropy martingale measure (MEMM) is used to value European call option with a view of comparing the …

Persistent link: https://www.econbiz.de/10011988781

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

measure P. Minimal entropy martingale measure (MEMM) is used to value European call option with a view of comparing the …

Persistent link: https://www.econbiz.de/10011883226

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - 2014

the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of …

Persistent link: https://www.econbiz.de/10010491335

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - Tinbergen Instituut - 2014

the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of …

Persistent link: https://www.econbiz.de/10011255788

Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

The minimal entropy martingale measure in a market of traded financial and actuarial risks

Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - 2014

determine the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of …

Persistent link: https://www.econbiz.de/10010391547

Option pricing with discrete time jump processes

Guegan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - HAL - 2012

transform and the Minimal Entropy Martingale Measure. We finally assess empirically the performance of this modelling approach …

Persistent link: https://www.econbiz.de/10010635226

Utility indifference pricing and hedging for structured contracts in energy markets

Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; … - In: Mathematical methods of operations research 85 (2017) 2, pp. 265-303

Persistent link: https://www.econbiz.de/10011714437

Pricing European options and risk measurement under exponential Lévy models : a practical guide

Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36

Persistent link: https://www.econbiz.de/10011777826