Open AccessApplication of Relative Entropy in Finding the Minimal Equivalent Martingale Measure
Author(s) -
Gholamhossein Yari,
Maryam Tahmasebi
Publication year - 2014
Language(s) - English
Resource type - Conference proceedings
DOI - 10.3390/ecea-1-b009
Subject(s) - martingale pricing , martingale (probability theory) , mathematics , doob's martingale inequality , local martingale , entropy (arrow of time) , markov process , geometric brownian motion , kullback–leibler divergence , risk neutral measure , brownian motion , martingale representation theorem , markov chain , mathematical economics , computer science , statistics , diffusion process , knowledge management , physics , innovation diffusion , quantum mechanics