Minimax Martingale Measures and Minimal Distance Martingale Measures

Yoshio Miyahara
Additional contact information
Yoshio Miyahara: Nagoya City University, Japan

Chapter 5 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 41-46 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Utility Function, Duality, and Minimax Martingale MeasuresDistance Function Corresponding to Utility FunctionMinimal Distance Martingale MeasuresNotes

Keywords: Mathematical Finance; Incomplete Market; Option Pricing; Lévy Process; Minimal Entropy Martingale Measure; Calibration of [GLP & MEMM] Models (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9781848163485_0005 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9781848163485_0005 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9781848163485_0005

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().