On the minimal entropy martingale measure for Lévy processes (Q5086534)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the minimal entropy martingale measure for Lévy processes |
scientific article; zbMATH DE number 7553704
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the minimal entropy martingale measure for Lévy processes |
scientific article; zbMATH DE number 7553704 |
Statements
On the minimal entropy martingale measure for Lévy processes (English)
0 references
5 July 2022
0 references
Lévy financial markets
0 references
minimal entropy martingale measure
0 references
Esscher martingale measure
0 references
no-arbitrage conditions
0 references
moment generating functions
0 references
0 references
0 references
0 references
0.8822280168533325
0 references
0.8725767731666565
0 references
0.8688114285469055
0 references
0.8576216697692871
0 references
0.833965539932251
0 references
