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On the minimal entropy martingale measure

Grandits P, Rheinl??nder T ...see all

Annals of Probability, vol. 30, issue 3 (2002) pp. 1003-1038

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Equivalent Martingale Measure in Asian Geometric Average Option Pricing

Journal of Mathematical Economics, vol. 4, issue August (2014) pp. 304-308

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The equivalent martingale measure: An introduction to pricing using expectations

Magdon-Ismail M ...see all

IEEE Transactions on Neural Networks, vol. 12, issue 4 (2001) pp. 684-693

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The minimal entropy martingale measure for exponential markov chains

Lee Y, Rheinlander T ...see all

Journal of Applied Probability, vol. 50, issue 2 (2013) pp. 344-358

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Equivalent Martingale Measures and Risk-Neutral Pricing

Sundaram R ...see all

The Journal of Derivatives, vol. 5, issue 1 (1997) pp. 85-98

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Equivalent martingale measures and no-arbitrage in stochastic securities market models

Dalang R, Morton A, Willinger W ...see all

Stochastics An International Journal of Probability and Stochastic Processes, vol. 29, issue April 2015 (1990) pp. 185-201

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A martingale ergodic theorem

Podvigin I ...see all

Siberian Mathematical Journal, vol. 51, issue 6 (2010) pp. 1125-1130

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Martingale representation and hedging policies

Colwell D, Elliott R, Ekkehard Kopp P ...see all

Stochastic Processes and their Applications, vol. 38, issue 2 (1991) pp. 335-345

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The equivalent martingale measure conditions in a general model for interest rates

Hamza K, Jacka S, Klebaner F ...see all

Advances in Applied Probability, vol. 37, issue 2 (2005) pp. 415-434

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Martingale Central Limit Theorems

The Annals of Mathematical Statistics, vol. 42, issue 1 (1971) pp. 59-66

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A Note on the Existence of Unique Equivalent Martingale Measures in a Markovian Setting

Rydberg T ...see all

Finance and Stochastics, vol. 1, issue 3 (1997) pp. 251-257

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Martingale Central Limit Theorems

Ann. Math. Statist. (1971) pp. 59-66 Published by The Institute of Mathematical Statistics

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Martingale Central Limit Theorems

The Annals of Mathematical Statistics, vol. 42, issue 1 (1971) pp. 59-66

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Martingale central limit theorems

Annals of Mathematical Statistics, vol. 42 (1971) pp. 59-66

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Portfolio optimization and martingale measures

Mathematical Finance, vol. 10, issue 2 (2000) pp. 289-303

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A note on the CIR process and the existence of equivalent martingale measures

Statistics and Probability Letters, vol. 78, issue 5 (2008) pp. 481-487

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Martingale densities for general asset prices

Schweizer M ...see all

Journal of Mathematical Economics, vol. 21, issue 4 (1992) pp. 363-378

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The existence of dominating local martingale measures

Imkeller P, Perkowski N ...see all

Finance and Stochastics, vol. 19, issue 4 (2015) pp. 685-717 Published by Springer Verlag

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Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets

Girotto B, Ortu F ...see all

Journal of Mathematical Economics, vol. 27, issue 3 (1997) pp. 283-294

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The minimal entropy martingale measure and the valuation problem in incomplete markets

Frittelli M ...see all

Mathematical finance, vol. 10, issue 1 (2000) pp. 39-52

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