On q-optimal martingale measures in exponential Lévy models
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Publication:1003349
DOI10.1007/S00780-008-0067-7zbMATH Open1164.91009OpenAlexW2009520599MaRDI QIDQ1003349FDOQ1003349
Authors: Christian Bender, Christina R. Niethammer 
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0067-7
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Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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- The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
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- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes
- Minimal entropy preserves the Lévy property: how and why
- Optimal portfolios for exponential Lévy processes.
- A super-martingale property of the optimal portfolio process
- Minimal Hellinger martingale measures of order \(q\)
- The supermartingale property of the optimal wealth process for general semimartingales
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- On convergence to the exponential utility problem
- The \(p\)-optimal martingale measure when there exist inaccessible jumps
- On Convergence to the Exponential Utility Problem with Jumps
Cited In (19)
- Power utility maximization in constrained exponential Lévy models
- \(q\)-optimal martingale measures for discrete time models
- From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
- On Convergence to the Exponential Utility Problem with Jumps
- Simplified stochastic calculus with applications in economics and finance
- On continuity properties for option prices in exponential Lévy models
- The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
- Exponential stock models driven by tempered stable processes
- Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes
- The minimal \(\kappa \)-entropy martingale measure
- Simplified calculus for semimartingales: multiplicative compensators and changes of measure
- A class of stochastic volatility models and theq-optimal martingale measure
- \(f\)-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point
- On the Martingale Measures in Exponential Lévy Models
- Existence and uniqueness of martingale measures in exponential Lévy models
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
- Power utility maximization under partial information: some convergence results
- Mean Variance Hedging in a General Jump Model
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