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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2025
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| Accès en ligne: | https://arxiv.org/abs/2501.02396 |
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| _version_ | 1866912177630216192 |
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| author | Kabanov, Yuri Sonin, Mikhail A. |
| author_facet | Kabanov, Yuri Sonin, Mikhail A. |
| contents | We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_02396 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model Kabanov, Yuri Sonin, Mikhail A. Probability Mathematical Finance 60G44 We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated. |
| title | On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model |
| topic | Probability Mathematical Finance 60G44 |
| url | https://arxiv.org/abs/2501.02396 |