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The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure
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The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure
The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure
Author:
PG
Peter Grandits
Peter Grandits
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1 April 1999
journal article
Published by
JSTOR
in
Bernoulli
Vol. 5
(2)
,
225
DOI:
10.2307/3318433
Abstract
No abstract available
Keywords
OPTIMAL MARTINGALE
MARTINGALE MEASURE
ENTROPY MARTINGALE
MINIMAL ENTROPY
ASYMPTOTIC RELATION
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Cited by 28 articles
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