Minimal \(f^q\)-Martingale measures for exponential Lévy processes

DOI10.1214/07-AAP439zbMath1140.60026arXiv0710.5594OpenAlexW1957765303MaRDI QIDQ2475035

Susanne Klöppel, Yoshio Miyahara, Monique Jeanblanc-Picqué

Publication date: 20 March 2008

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

Full work available at URL: https://arxiv.org/abs/0710.5594

zbMATH Keywords

Lévy processesincomplete marketsminimal martingale measures\(f\)-divergencestructure condition

Mathematics Subject Classification ID

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