The minimal entropy measure and an Esscher transform in an incomplete market model
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References listed on IDEAS
- Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
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- repec:bla:irvfin:v:17:y:2017:i:2:p:235-262 is not listed on IDEAS
- Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012.
"A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
- Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
- Scott Robertson, 2012. "Pricing for Large Positions in Contingent Claims," Papers 1202.4007, arXiv.org, revised Dec 2013.
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KeywordsMinimal entropy measure Minimal martingale measure Esscher transform;
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