Narrow search
Showing 1 - 10 of 10
Cover Image
A semimartingale BSDE related to the minimal entropy martingale measure
Mania, Michael; Santacroce, Marina; Tevzadze, Revaz - In: Finance and stochastics 7 (2003) 3, pp. 385-402
Persistent link: https://www.econbiz.de/10001771742
Cover Image
The minimal entropy martingale measures for geometric Lévy processes
Fujiwara, Tsukasa; Miyahara, Yoshio - In: Finance and stochastics 7 (2003) 4, pp. 509-531
Persistent link: https://www.econbiz.de/10001800700
Cover Image
On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina R. - In: Finance and stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
Cover Image
Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Kassberger, Stefan; Liebmann, Thomas - In: Finance and stochastics 15 (2011) 1, pp. 117-140
Persistent link: https://www.econbiz.de/10008824130
Cover Image
Maximum entropy distributions inferred from option portfolios on an asset
Neri, Cassio; Schneider, Lorenz - In: Finance and stochastics 16 (2012) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10009544666
Cover Image
Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
Cover Image
Minimax theorems for American options without time-consistency
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; … - In: Finance and stochastics 23 (2019) 1, pp. 209-238
Persistent link: https://www.econbiz.de/10012023712
Cover Image
An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior
Chong, Wing Fung; Hu, Ying; Liang, Gechun; … - In: Finance and stochastics 23 (2019) 1, pp. 239-273
Persistent link: https://www.econbiz.de/10012023715
Cover Image
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien - In: Finance and stochastics 28 (2024) 1, pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
Cover Image
Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro; Frittelli, Marco - In: Finance and stochastics 27 (2023) 2, pp. 255-304
Persistent link: https://www.econbiz.de/10014253636