Minimal entropy preserves the Lévy property: how and why
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Publication:2485828
DOI10.1016/j.spa.2004.05.009zbMath1075.60049MaRDI QIDQ2485828
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2004.05.009
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Cites Work
- Martingales and arbitrage in multiperiod securities markets
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Pricing contingent claims on stocks driven by Lévy processes
- The minimal entropy martingale measures for geometric Lévy processes
- On the minimal entropy martingale measure.
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- Optimal Sure Portfolio Plans
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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