Exponential Hedging and Entropic Penalties

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Author
Rheinländer, Thorsten
Delbaen, Freddy
Grandits, Peter
Samperi, Dominick
Schweizer, Martin
Stricker, Christophe
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Date
2002
Type
  • Journal Article
Publication status
published
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Journal / series
Mathematical Finance
Volume
12(2)
Pages
99 - 123
Publisher
Wiley-Blackwell
Subject
hedging; exponential utility; relative entropy; duality; minimal martingale measure; minimal entropy martingale measure; reverse Hölder inequalities
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