On the minimal entropy martingale measure

By Peter Grandits, Thorsten Rheinländer. 2002

80 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/f98521856de6600723e0c38570800ba1c6ac0edf

How researchers see this paper

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

In Applied Mathematics

1. Martin Schweizer
2. Vicky Henderson

In Finance

1. Martin Schweizer
2. Vicky Henderson
3. Christophe Stricker
4. Tahir Choulli
5. Dirk Becherer
6. Michael Monoyios
7. David Hobson *
8. Thaleia Zariphopoulou

In Modeling and Simulation

1. Martin Schweizer
2. Vicky Henderson

Citations in the corpus

• Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007, unknown): “Calculating the density of the minimal relative entropy measure is more involved and we refer the reader to Rheinlander (2003) (see, also, Grandits and Rheinlander (2002)) for a concise treatment.”
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS (2005, methodology): “Existence is dealt with in Delbaen and Schachermayer [3], Gourieroux et al [8] and Rheinländer and Schweizer [20] for continuous processes.”
• Minimal Entropy Martingale Measure (2010, methodology): “This has been proved in [21] for models in finite discrete time and in [28] and [26] in general; see also [23] for an application to finding optimal strategies in a Lévy process setting.”
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (2005, background): “Grandits and Rheinländer (2002) investigated the MEM measure (existence, integrability, and robustness) without providing any possible dynamic structure of this extremal martingale measure.”