The minimal entropy martingale measures for geometric Lévy processes
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Publication:1424723
DOI10.1007/S007800200097zbMath1035.60040OpenAlexW2017392078MaRDI QIDQ1424723
Yoshio Miyahara, Tsukasa Fujiwara
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200097
utility indifference priceminimal entropyEsscher transformation(local) martingale measuresgeometric Lévy processes
Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Measures of information, entropy (94A17) Stochastic integral equations (60H20)
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