The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

Marco Frittelli, '. M. E. M. M., & the Valuation Problem in Incomplete Markets, '. M. F. 1. (2000). The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets.

Type

Unclassified

Intellectual base

Unclassified

Year

2000

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Cited by

1 citation across 1 artifact.

Domain-specific

• Minimal-entropy martingale measure
  • The MEMM preserves no-arbitrage pricing while choosing the risk-neutral law closest to the physical law in Kullback-Leibler divergence, subject to existence, equivalence, and integrability conditions.

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