The minimal entropy martingale measure of a jump process influenced by jump times

DOI10.1016/J.SPL.2012.09.001zbMATH Open1261.60081OpenAlexW2042171534MaRDI QIDQ1933702FDOQ1933702

Authors: Jun Yan, Fuqing Gao 

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.001

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zbMATH Keywords

relative entropyexponential martingaleminimal entropy martingale measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (8)

• On jump-diffusion processes with regime switching: martingale approach
• The minimal entropy martingale measures for exponential additive processes
• The minimal martingale measure for the price process with Poisson shot noise jumps
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• The minimal martingale measure for jump diffusion processes and its properties
• Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Title not available (Why is that?)

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