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

@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / zbMATH DE Number @@
+6381305
@@ Property / zbMATH DE Number: 6381305 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy process
@@ Property / zbMATH Keywords: Lévy process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time change
@@ Property / zbMATH Keywords: time change / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+subordination
@@ Property / zbMATH Keywords: subordination / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized relative entropy
@@ Property / zbMATH Keywords: generalized relative entropy / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+martingale measures
@@ Property / zbMATH Keywords: martingale measures / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0133-9
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@@ Property / OpenAlex ID @@
+W2142054588
@@ Property / OpenAlex ID: W2142054588 / rank @@
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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
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@@ Property / cites work @@
+Q2738733
@@ Property / cites work: Q2738733 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
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+Pricing contingent claims on stocks driven by Lévy processes
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+Minimal entropy preserves the Lévy property: how and why
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+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measures for geometric Lévy processes
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+Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
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+Minimal \(f^q\)-Martingale measures for exponential Lévy processes
+Normal rank
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+Multivariate time changes for Lévy asset models: characterization and calibration
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+Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
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+A minimality property of the minimal martingale measure
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+Q2771116
@@ Property / cites work: Q2771116 / rank @@
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+On the Martingale Measures in Exponential Lévy Models
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+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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@@ links / mardi / name / links / mardi / name @@
+Publication:483702