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Author Rheinländer, Thorsten ♦ Steiger, Gallus
Source Project Euclid
Content type Text
File Format PDF
Subject Domain (in DDC) Natural sciences & mathematics ♦ Mathematics
Subject Keyword Stochastic integrals (60H05) ♦ Generalizations of martingales (60G48) ♦ Entropy and other invariants (28D20) ♦ Game theory, economics, social and behavioral sciences
Description Relative entropy martingale measures stochastic volatility
Learning Resource Type Article
Publisher Date 2006-01-01
Journal Ann. Appl. Probab.
Volume Number 16
Issue Number 3
Page Count 33
Starting Page 1319
Ending Page 1351