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Search: subject:"Minimal entropy martingale measure"
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minimal entropy martingale measure
5
CAC 40
3
Entropie
3
Entropy
3
Martingal
3
Martingale
3
Option pricing
3
actuarial risks
3
exponential affine stochastic discount factor
3
financial risks
3
incomplete markets
3
independence
3
relative entropy
3
CAPM
2
European call option
2
Lévy processess
2
Minimal Entropy Martingale Measure
2
Minimal entropy martingale measure
2
S&P 500
2
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2
Stochastischer Prozess
2
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2
Theory
2
binomial
2
generalized hyperbolic distribution
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incomplete market
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normal inverse Gaussian
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pentanomial lattice
2
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1
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1
Factor analysis
1
Faktorenanalyse
1
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1
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Option pricing theory
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English
5
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4
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Devolder, Pierre
3
Dhaene, Jan
3
Guegan, Dominique
3
Ielpo, Florian
3
Lalaharison, Hanjarivo
3
Stassen, Ben
3
Vellekoop, Michel
3
Blasques, Francisco
1
Koopman, Siem Jan
1
Mallee, Max I. P.
1
Mwaniki, Ivivi J.
1
Mwaniki, Ivivi Joseph
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Tinbergen Instituut
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RePEc
4
ECONIS (ZBW)
3
EconStor
2
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Option pricing with discrete time jump processes.
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
and the
Minimal
Entropy
Martingale
Measure
. We finally assess empirically the performance of this modelling approach …
Persistent link: https://www.econbiz.de/10009225975
Saved in:
9
Option pricing with discrete time jump processes.
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
and the
Minimal
Entropy
Martingale
Measure
. We finally assess empirically the performance of this modelling approach …
Persistent link: https://www.econbiz.de/10010721555
Saved in:
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