The minimal entropy measure and an Esscher transform in an incomplete market model

The minimal entropy measure and an Esscher transform in an incomplete market model

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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...

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Príomhchruthaitheoir:	Monoyios, M
Formáid:	Journal article
Foilsithe / Cruthaithe:	2005

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