The minimal entropy martingale measures for geometric Lévy processes

DOI10.1007/s007800200097zbMath1035.60040OpenAlexW2017392078MaRDI QIDQ1424723

Yoshio Miyahara, Tsukasa Fujiwara

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200097

zbMATH Keywords

utility indifference priceminimal entropyEsscher transformation(local) martingale measuresgeometric Lévy processes

Mathematics Subject Classification ID

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