The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208)

The main contribution of the paper is to determine the minimal entropy martingale measure for a general class of stochastic volatility models where both the price process and the volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric Levy case or continuous price processes with an orthogonal volatility process. The authors proceed by linking the entropy measure to a certain semi-linear integro-PDE for which they prove the existence of a classical solution. The authors' approach was mostly influenced by \textit{T. Rheinländer} [Finance Stoch. 9, No. 3, 399--413 (2005; Zbl 1088.60040)] and \textit{D. Becherer} [``Rational hedging and valuation with utility based preferences'', PhD. Thesis. Technical University Berlin, available at \url{http://e-docs.tu\_berlin.de/diss/2001/becherer\_dirk.htm} (2001)].