The cumulant process and Esscher's change of measure

DOI10.1007/s007800200069zbMath1035.60042MaRDI QIDQ1424691

Jan Kallsen, Albert N. Shiryaev

Publication date: 16 March 2004

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

Full work available at URL: http://eprints.maths.manchester.ac.uk/912/1/The_cumulant.pdf

zbMATH Keywords

uniform integrability; Esscher transform; exponential transform; cumulant process; exponential compensator; exponentially special semimartingale; stochastic logarithm

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60G48: Generalizations of martingales

Related Items

An extension of the Clark–Ocone formula under benchmark measure for Lévy processes, EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION, The Lévy Swap Market Model, On the implicit Black–Scholes formula, Esscher transforms and the minimal entropy martingale measure for exponential Lévy models, OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING, SYMMETRIES IN LÉVY TERM STRUCTURE MODELS, Reviewing alternative characterizations of Meixner process, Optimal martingale measures for defaultable assets, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps, A characterization of the martingale property of exponentially affine processes, On the martingale property of certain local martingales, The quintessential option pricing formula under Lévy processes, Option pricing for log-symmetric distributions of returns, On exponential local martingales associated with strong Markov continuous local martingales, The minimal entropy martingale measures for exponential additive processes, Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes, On the duality principle in option pricing: semimartingale setting, On option pricing under a completely random measure via a generalized Esscher transform, Esscher transform and the duality principle for multidimensional semimartingales, Variance-optimal hedging for processes with stationary independent increments, A complete explicit solution to the log-optimal portfolio problem., The finiteness of moments of a stochastic exponential., Counterfactual analyses with graphical models based on local independence, On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps, Equivalent and absolutely continuous measure changes for jump-diffusion processes, RATING BASED LÉVY LIBOR MODEL, THE AFFINE LIBOR MODELS, On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations, A PDE approach to jump-diffusions, Pricing multivariate options under stochastic volatility lévy processes, Martingale Representation and Admissible Portfolio Process with Regime Switching, The Risk Premium and the Esscher Transform in Power Markets, Rational term structure models with geometric Lévy martingales, Pricing and capital requirements for with profit contracts: modelling considerations