Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes |
scientific article |
Statements
Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (English)
0 references
17 December 2014
0 references
Lévy process
0 references
time change
0 references
subordination
0 references
generalized relative entropy
0 references
martingale measures
0 references
0 references
