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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred
;
Meyer-Brandis, Thilo
- In:
Finance and Stochastics
9
(
2005
)
4
,
pp. 563-575
entropy price of a derivative is given by the solution of a coupled system of two
integro-partial
differential
equations
…
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