Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702)
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scientific article; zbMATH DE number 6381305
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| English | Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes |
scientific article; zbMATH DE number 6381305 |
Statements
Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (English)
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17 December 2014
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Lévy process
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time change
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subordination
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generalized relative entropy
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martingale measures
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0.8321089148521423
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0.8307207226753235
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0.8247741460800171
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0.8222664594650269
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0.8048727512359619
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