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 $W$,$\widetilde{W}$. The Brownian motion $W$ drives the stock price, whose volatility and Sharpe ratio are adapted to the filtration $\mathbb{F} := (\widetilde{\mathcal{F}}_{t})_{0 \le t \le T}$ generate...
| Auteur principal: | |
|---|---|
| Format: | Journal article |
| Publié: |
2005
|