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An entropy approach to the Stein and Stein model with correlation · Study

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ArticleAn entropy approach to the Stein and Stein model with correlation

Thorsten Rheinländer2005

Article2005

An entropy approach to the Stein and Stein model with correlation

Thorsten Rheinländer

31 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2002Exponential Hedging and Entropic Penalties 1999Dynamic programming and mean-variance hedging 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 2002On the minimal entropy martingale measure 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 2003Rational hedging and valuation of integrated risks under constant absolute risk aversion

Cited by

2014ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS 2009Optimal static-dynamic hedges for exotic options under convex risk measures 2006Characterisation of optimal dual measures via distortion 2010Minimal Martingale Measure 2010The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)

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2005A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility marketsarticle · 9 shared references 2004STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q ‐OPTIMAL MEASUREarticle · 7 shared references 2007Chapter 12 Incomplete Marketschapter · 7 shared references 2008Backward stochastic partial differential equations related to utility maximization and hedgingarticle · 7 shared references 2006Characterisation of optimal dual measures via distortionarticle · 6 shared references 2011Asymptotic utility-based pricing and hedging for exponential utilityarticle · 6 shared references

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Year2005

Typearticle

Published2005-06-06

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-004-0149-0

openalex_workW2020513063

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