On the minimal entropy martingale measure for Lévy processes (Q5086534)
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scientific article; zbMATH DE number 7553704
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the minimal entropy martingale measure for Lévy processes |
scientific article; zbMATH DE number 7553704 |
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On the minimal entropy martingale measure for Lévy processes (English)
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5 July 2022
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Lévy financial markets
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minimal entropy martingale measure
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Esscher martingale measure
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no-arbitrage conditions
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moment generating functions
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