The minimal entropy measure and an Esscher transform in an incomplete market model
We consider an incomplete market model with one traded stock and two correlated Brownian motions W, over(W, ̃). The Brownian motion W drives the stock price, whose volatility and Sharpe ratio are adapted to the filtration over(F, ̃) {colon equals} (over(F, ̃)t)0 ≤ t ≤ T generated by over(W, ̃). We s...
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| פורמט: | Journal article |
| שפה: | English |
| יצא לאור: |
2007
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The minimal entropy measure and an Esscher transform in an incomplete market model
יצא לאור 2007
Journal article
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The minimal entropy measure and an Esscher transform in an incomplete market model
יצא לאור 2005
Journal article