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Minimax and minimal distance martingale measures and their relationship to portfolio optimization |
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| Authors: | Thomas Goll Ludger Rüschendorf |
| Institution: | Institut für Mathematische Stochastik, Universit?t Freiburg i. Br., Eckerstra?e 1, 79104 Freiburg i. Br., Germany (e-mail: goll@stochastik.uni-freiburg.de; ruschen@stochastik.uni-freiburg.de), DE |
| Abstract: | |
| Keywords: | :f-divergences derivative pricing utility maximization hedging |
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