MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

By Tahir Choulli, Christophe Stricker. 2005

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/99c85f31e920248c9a3935f5cf6345139f115835

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Hobson *
2. Vicky Henderson
3. Martin Schweizer
4. H. M. Soner
5. Yan Dolinsky
6. Nizar Touzi
7. Michael Monoyios
8. Mathias Beiglbock

In Finance

1. David Hobson *
2. Vicky Henderson
3. Martin Schweizer
4. Michael Monoyios
5. Nizar Touzi
6. Dirk Becherer
7. H. M. Soner
8. Yan Dolinsky

In Management Science and Operations Research

1. Vicky Henderson
2. David Hobson *
3. Martin Schweizer
4. Dirk Becherer
5. Marie-Amélie Morlais

Citations in the corpus

• Horizon-unbiased utility functions (2007, background): “Although the approach is completely different, in this sense there is a link to the work of Choulli and Stricker [1] on the minimal entropy-Hellinger (MEH) martingale measure.”
• Minimal Entropy Martingale Measure (2010, background): “Apart from the above, there are a number of other areas where the minimal entropy martingale measure has come up; these include – option price comparisons ([7], [11], [32], [33], [34], [55]); – generalisations or connections to other optimal ELMMs ([2], [14], [15], [66]); see also eqf04/015 [minimal”