Minimal entropy preserves the Lévy property: how and why

DOI10.1016/J.SPA.2004.05.009MaRDI QIDQ2485828zbMATH OpenOpenAlexFDO

Authors Felix Esche, Martin Schweizer

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.05.009

zbMATH Keywords

Incomplete marketsMinimal entropy martingale measureLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48)

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Cited in

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• Utility indifference hedging with exponential additive processes
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• NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
• The pricing of compound option under variance gamma process by FFT

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