dc.contributor.author |
Kufakunesu, Rodwell
|
|
dc.date.accessioned |
2012-05-17T11:16:49Z |
|
dc.date.available |
2012-05-17T11:16:49Z |
|
dc.date.issued |
2011 |
|
dc.description.abstract |
In a stochastic volatility market the Radon-Nikodym density of the
minimal entropy martingale measure can be expressed in terms of the solution of
a semilinear partial differential equation (PDE). This fact has been explored and
illustrated for the time-homogeneous case in a recent paper by Benth and Karlsen. However, there are some cases which time-dependent parameters are required
such as when it comes to calibration. This paper generalizes their model to the
time-inhomogeneous case. |
en |
dc.description.librarian |
nf2012 |
en |
dc.description.uri |
http://www.nisc.co.za/journals?id=7 |
en_US |
dc.identifier.citation |
Kufakunesu, R 2011, 'The density process of the minimal entropy martingale measure in a stochastic volatility market : a PDE approach', Queastiones Mathematicae, vol. 34, pp. 147-174. |
en |
dc.identifier.issn |
1607-3606 (print) |
|
dc.identifier.other |
10.2989/16073606.2011.594229 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/18777 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Taylor & Francis |
en_US |
dc.rights |
© 2011 NISC Pty Ltd. |
en_US |
dc.subject |
Utility optimisation |
en |
dc.subject |
Stochastic volatility |
en |
dc.subject |
Incomplete market |
en |
dc.subject |
Minimal entropy |
en |
dc.subject |
Martingale measure |
en |
dc.subject |
Hamilton-Jacobi-Bellman equation |
en |
dc.subject.lcsh |
Martingales (Mathematics) |
en |
dc.subject.lcsh |
Differential equations, Partial |
en |
dc.title |
Density process of the minimal entropy martingale measure in a stochastic volatility market : a PDE approach |
en |
dc.type |
Postprint Article |
en |