Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes

DOI10.1007/s00780-010-0133-9zbMath1302.60073OpenAlexW2142054588MaRDI QIDQ483702

Stefan Kassberger, Thomas Liebmann

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0133-9

zbMATH Keywords

subordinationLévy processtime changemartingale measuresgeneralized relative entropy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)

Related Items (4)

The Föllmer-Schweizer decomposition: comparison and description ⋮ Structure-preserving equivalent martingale measures for ℋ-SII models ⋮ Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing contingent claims on stocks driven by Lévy processes
• The minimal entropy martingale measures for geometric Lévy processes
• A minimality property of the minimal martingale measure
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Minimal entropy preserves the Lévy property: how and why
• Multivariate time changes for Lévy asset models: characterization and calibration
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• On the Martingale Measures in Exponential Lévy Models

This page was built for publication: Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes