The minimal entropy martingale measure of a jump process influenced by jump times
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DOI: 10.1016/j.spl.2012.09.001
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References listed on IDEAS
- Merton, Robert C., 1976.
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Cited by:
- Yan, Jun, 2017. "Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 71-79.
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Keywords
Relative entropy; Minimal entropy martingale measure; Exponential martingale;All these keywords.
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