Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s00780-010-0133-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2142054588 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2738733 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility for Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing contingent claims on stocks driven by Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal entropy preserves the Lévy property: how and why / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3974816 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The minimal entropy martingale measures for geometric Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Esscher transforms and the minimal entropy martingale measure for exponential Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal \(f^q\)-Martingale measures for exponential Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate time changes for Lévy asset models: characterization and calibration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type / rank
 
Normal rank
Property / cites work
 
Property / cites work: A minimality property of the minimal martingale measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2771116 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Martingale Measures in Exponential Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS / rank
 
Normal rank

Latest revision as of 10:49, 9 July 2024

scientific article
Language Label Description Also known as
English
Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
scientific article

    Statements

    Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (English)
    0 references
    0 references
    0 references
    17 December 2014
    0 references
    Lévy process
    0 references
    time change
    0 references
    subordination
    0 references
    generalized relative entropy
    0 references
    martingale measures
    0 references

    Identifiers