Density process of the minimal entropy martingale measure in a stochastic volatility market : a PDE approach
| dc.contributor.author | Kufakunesu, Rodwell | |
| dc.contributor.email | rodwell.kufakunesu@up.ac.za | en_US |
| 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 |