Exponential Hedging and Entropic Penalties - Research Collection

Metadata only

Author

Rheinländer, Thorsten

Delbaen, Freddy

Grandits, Peter

Samperi, Dominick

Schweizer, Martin

Stricker, Christophe

Date

2002

Type

Journal Article

Citations

Cited 125 times in Web of Science

ETH Bibliography

yes

Altmetrics

Publication status

published

External links

https://doi.org/10.1111/1467-9965.02001

Journal / series

Mathematical Finance

Volume

12(2)

Pages / Article No.

99 - 123

Publisher

Wiley-Blackwell

Subject

hedging; exponential utility; relative entropy; duality; minimal martingale measure; minimal entropy martingale measure; reverse Hölder inequalities

Notes

.

More

Show all metadata

Citations

Cited 125 times in Web of Science

ETH Bibliography

yes

Altmetrics