Browsing Faculty of Science & Technology (FST) by Author "Ivivi, Ssebugenyi"
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On the Minimal Entropy Martingale Measure and Multinomial Lattices with Cumulants
Seera, Cyrus; Ivivi, Ssebugenyi; Mwaniki, Joseph; Konlack, Virginie S. (2012)In this article, we describe with relevant examples based on empirical data how to use the minimal entropy martingale measure (MEMM) to price European and American Options in multinomial lattices which take into account ...