Minimal-entropy martingale measure
id:
minimal-entropy-martingale-measure-263-4805363
title:
Minimal-entropy martingale measure
text:
In probability theory, the minimal-entropy martingale measure (MEMM) is the risk-neutral probability measure that minimises the entropy difference between the objective probability measure, P , and the risk-neutral measure, Q . In incomplete markets, this is one way of choosing a risk-neutral measure so as to still maintain the no-arbitrage conditions. The MEMM has the advantage that the measure Q will always be equivalent to the measure P by construction. Another common choice of equivalent mar
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wiki
category slug:
encyclopedia
description:
Method used to minimise uncertainty between probabilities
original url:
https://en.wikipedia.org/wiki/Minimal-entropy_martingale_measure
date created:
date modified:
2023-12-14T00:13:29Z
main entity:
{"identifier":"Q17058048","url":"https://www.wikidata.org/entity/Q17058048"}
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fields total:
13
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