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An entropy approach to the Stein and Stein model with correlation |
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| Authors: | Thorsten Rheinländer |
| Institution: | (1) Department of Statistics, London School of Economics and Political Science, Houghton Street, WC2A, 2AE London, Great Britain |
| Abstract: | |
| Keywords: | Stochastic volatility Relative entropy Martingale measures Progressive enlargement of filtrations |
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