| dc.date.accessioned | 2013-03-12T08:19:22Z | |
| dc.date.available | 2013-03-12T08:19:22Z | |
| dc.date.issued | 2003 | en_US |
| dc.date.submitted | 2009-12-11 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10636 | |
| dc.description.abstract | Under general conditions stated in Rheinländer 30], we prove that 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 PDE. The semilinear PDE is suggested by the dynamic programming approach to the utility indifference pricing problem of contingent claims. We apply our PDE approach to the Stein-Stein and Heston stochastic volatility models. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2003). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | A PDE REPRESENTATION OF THE DENSITY OF THE MINIMAL ENTROPY MARTINGALE MEASURE IN STOCHASTIC VOLATILITY MARKETS | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-12-11 | en_US |
| dc.rights.holder | Copyright 2003 The Author(s) | |
| dc.creator.author | Benth, Fred Espen | en_US |
| dc.creator.author | Karlsen, Kenneth H. | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23718 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97819 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10636/1/pm05-03.pdf | |