학술논문
Financial markets with disorders. Optimal martingale measures for trinomial scheme.
Document Type
Journal
Author
Glonti, O. (GE-TBIL) AMS Author Profile; Jamburia, L. (GE-TBIL) AMS Author Profile; Khechinashvili, Z. (GE-TBIL) AMS Author Profile
Source
Subject
91 Game theory, economics, social and behavioral sciences -- 91G Mathematical finance
91G80Financial applications of other theories
91G80
Language
English
Georgian
Georgian
Abstract
Summary: ``In the paper we consider a trinomial scheme with two random disorder moments, which we propose as stock price evolution model, and find entropy minimal martingale measure for one special class of martingale measures.''