On the minimal entropy martingale measure.

DOI10.1214/aop/1029867119zbMath1049.60035MaRDI QIDQ1872284

Thorsten Rheinländer, Peter Grandits

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1029867119

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

60G48: Generalizations of martingales

28D20: Entropy and other invariants

60H05: Stochastic integrals

Related Items

STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE, On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure, The Minimal Entropy Martingale Measure for Exponential Markov Chains, RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS, A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets, UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION, MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE, Esscher transforms and the minimal entropy martingale measure for exponential Lévy models, OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS, MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS, Derivatives pricing viap-optimal martingale measures: some extreme cases, Stability of utility maximization in nonequivalent markets, A representation of the relative entropy with respect to a diffusion process in terms of its infinitesimal generator, Minimal martingale measure: pricing and hedging in a pure jump model under restricted information, Optimal martingale measures for defaultable assets, Indifference valuation in incomplete binomial models, Utility maximization in models with conditionally independent increments, Utility indifference valuation for jump risky assets, Optimal static-dynamic hedges for exotic options under convex risk measures, \(q\)-optimal martingale measures for discrete time models, The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models, Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging, On \(q\)-optimal martingale measures in exponential Lévy models, Rational hedging and valuation of integrated risks under constant absolute risk aversion., Utility indifference hedging with exponential additive processes, On the structure of general mean-variance hedging strategies, Portfolios and risk premia for the long run, Risk aversion asymptotics for power utility maximization, Exponential stock models driven by tempered stable processes, On convergence to the exponential utility problem, Minimal \(f^q\)-Martingale measures for exponential Lévy processes, Minimal entropy preserves the Lévy property: how and why, A comparison of option prices under different pricing measures in a stochastic volatility model with correlation, Dynamic exponential utility indifference valuation, A Mathematical Theory of Financial Bubbles, A class of stochastic volatility models and theq-optimal martingale measure, STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES, Forward indifference valuation of American options, Risk minimizing portfolios and HJBI equations for stochastic differential games, The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model