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The principle of minimization of relative entropy is used to construct a minimal entropy martingale measure for a finite probability/multiperiod market model.
An exchange option allows its holder to exchange one asset for another at maturity. In this short paper, the martingale approach, which is based on Continuous martingale representation theorem and Gir...
In this article, the problem of real options valuation in multinomial trees is investigated. A concrete single real options value based on the minimal entropy martingale measure is provided. Using the...
In this paper, we will establish a martingale inequality, which extends the classic Hoeffding inequality in some sense. In addition, our inequality improves the results of Lee and Su [7] (2002) in som...
The strong approximations of a class of $\BbbR^d$-valued martingales are considered. The conditions used inthis paper are easier to check than those used in [3] and [9]. Asan application, the strong...
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a spe...

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