The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
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Cited by:
- Markus Hess, 2019. "Optimal Equivalent Probability Measures under Enlarged Filtrations," Journal of Optimization Theory and Applications, Springer, vol. 183(3), pages 813-839, December.
- Moritz Sohns, 2025. "Minimal Entropy and Entropic Risk Measures: A Unified Framework via Relative Entropy," Risks, MDPI, vol. 13(4), pages 1-27, April.
- Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, September.
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