OpenAlex | The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model

The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model

Work

Year: 2008

Type: article

Source: Stochastic Analysis and Applications

Authors Michael Kohlmann, Dewen Xiong

Institutions University of Konstanz, Shanghai Jiao Tong University

Cites: 30

Cited by: 10

Related to: 10

FWCI: 1.145

Citation percentile (by year/subfield): 73.4

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Sustainable Development Goal Decent work and economic growth

Open Access status: closed