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On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure.

Imen Ben AbdelwahedFaouzi Trabelsi
Published in: Int. J. Math. Oper. Res. (2015)
Keyphrases
  • computational model
  • information theory
  • cost function
  • probabilistic model
  • statistical model
  • formal model
  • similarity measure
  • experimental data
  • conceptual model
  • neural network model
  • data sets