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Construction of the minimal entropy martingale measure in finite probability market models
Relative entropy Minimal entropy martingale measure
2010/9/13
The principle of minimization of relative entropy is used to construct a minimal entropy martingale measure for a finite probability/multiperiod market model.
Valuation of real options using the minimal entropy martingale measure
Real Options Analysis Minimal Entropy Martingale Measure
2010/9/14
In this article, the problem of real options valuation in multinomial trees is investigated. A concrete single real options value based on the minimal entropy martingale measure is provided. Using the...