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"The minimal entropy martingale measure in a market of traded financial and ..."

Jan Dhaene et al. (2015)

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DOI: 10.1016/J.CAM.2014.12.004

access: open

type: Journal Article

metadata version: 2022-07-01

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Jan Dhaene, Ben Stassen, Pierre Devolder, Michel Vellekoop:
The minimal entropy martingale measure in a market of traded financial and actuarial risks. J. Comput. Appl. Math. 282: 111-133 (2015)

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