A PDE representation of the density of the minimal entropy...

A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets

Benth, Fred Espen, Karlsen ¶, Kenneth Hvistendahl
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Volume:
77
Year:
2005
Language:
english
Pages:
29
DOI:
10.1080/10451120500031736
File:
PDF, 289 KB
english, 2005
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