q-Optimal Martingale Measures for Discrete Time Models
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 3 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Incomplete market; Martingale measure; q-optimal martingale measure;
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- Christian Bender & Christina Niethammer, 2008. "On q-optimal martingale measures in exponential Lévy models," Finance and Stochastics, Springer, vol. 12(3), pages 381-410, July.
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