On two-parametric Esscher transform for geometric CGMY Lévy processes

DOI10.1504/IJOR.2014.059504zbMath1362.60045OpenAlexW2061652496MaRDI QIDQ2627478

Wissem Boughamoura, Faouzi Trabelsi

Publication date: 31 May 2017

Published in: International Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijor.2014.059504

zbMATH Keywords

relative entropyAsian optionpartial integro-differential equationequivalent martingale measuresEMMsmodel preserving minimal entropy martingale measureMPMEMMPIDECGMY processestransformation measurestwo-parametric Esscher transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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