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

DOI10.1016/J.SPL.2012.09.001MaRDI QIDQ1933702zbMATH OpenOpenAlexFDO

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

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)

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