On q-optimal martingale measures in exponential Lévy models

DOI10.1007/S00780-008-0067-7MaRDI QIDQ1003349zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic dualityminimal entropy martingale measure\(q\)-optimal martingale measureLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 2131680 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• A super-martingale property of the optimal portfolio process
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Financial Modelling with Jump Processes
• Mean-variance hedging in continuous time
• Minimal Hellinger martingale measures of order \(q\)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Minimal entropy preserves the Lévy property: how and why
• On Convergence to the Exponential Utility Problem with Jumps
• On convergence to the exponential utility problem
• On the minimal entropy martingale measure.
• Optimal portfolios for exponential Lévy processes.
• The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• The \(p\)-optimal martingale measure when there exist inaccessible jumps
• The minimal entropy martingale measures for geometric Lévy processes
• The supermartingale property of the optimal wealth process for general semimartingales

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
• Simplified stochastic calculus with applications in economics and finance
• On Convergence to the Exponential Utility Problem with Jumps
• 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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