Kassberger, Stefan; Liebmann, Thomas:
Minimal q-entropy martingale measures for exponential time-changed Lévy processes
In: Finance and stochastics, Vol. 15 (2011), No. 1, pp. 117 - 140
2011article/chapter in journal
EconomicsFaculty of Business Administration and Economics
Title:
Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Author:
Kassberger, Stefan;Liebmann, ThomasUDE
LSF ID
52191
Other
connected with university
Year of publication:
2011
DOI
10.1007/s00780-010-0133-9
Appears in
Finance and stochastics
in:
Vol. 15 (2011), No. 1, pp. 117 - 140
ISSN
1432-1122 Show availability online & print