Minimal entropy preserves the Lévy property: how and why

DOI10.1016/J.SPA.2004.05.009zbMATH Open1075.60049OpenAlexW2006795133MaRDI QIDQ2485828FDOQ2485828

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

Recommendations

• On the minimal entropy martingale measure for Lévy processes
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• The minimal entropy martingale measures for geometric Lévy processes
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
• A minimality property of the minimal martingale measure

zbMATH Keywords

Incomplete marketsMinimal entropy martingale measureLévy processes

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingales and arbitrage in multiperiod securities markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Pricing contingent claims on stocks driven by Lévy processes
• Title not available (Why is that?)
• On the minimal entropy martingale measure.
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• Title not available (Why is that?)
• The minimal entropy martingale measures for geometric Lévy processes
• Title not available (Why is that?)
• Sur l'int�grabilit� uniforme des martingales exponentielles
• Title not available (Why is that?)
• Optimal Sure Portfolio Plans

Cited In (40)

• Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
• Lévy preservation and associated properties for \(f\)-divergence minimal equivalent martingale measures
• An \(f\)-divergence approach for optimal portfolios in exponential Lévy models
• On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
• Logarithmic utility maximization in an exponential Lévy model
• Rational term structure models with geometric Lévy martingales
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• A Lévy-driven rainfall model with applications to futures pricing
• Cost-efficiency in multivariate Lévy models
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• On Convergence to the Exponential Utility Problem with Jumps
• Reviewing alternative characterizations of Meixner process
• On \(q\)-optimal martingale measures in exponential Lévy models
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• The minimal entropy martingale measures for exponential additive processes
• The risk premium and the Esscher transform in power markets
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• Pricing longevity-linked derivatives using a stochastic mortality model
• General theory of geometric Lévy models for dynamic asset pricing
• A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Price index insurances in the agriculture markets
• On the minimal entropy martingale measure for Lévy processes
• Pricing jump risk with utility indifference
• Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
• On the construction of optimal payoffs
• Multiasset derivatives and joint distributions of asset prices
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
• Shot-noise processes in finance
• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
• Utility indifference hedging with exponential additive processes
• Optimality of payoffs in Lévy models
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
• A continuous-time model of self-protection
• NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
• The pricing of compound option under variance gamma process by FFT
• Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process
• On two-parametric Esscher transform for geometric CGMY Lévy processes

This page was built for publication: Minimal entropy preserves the Lévy property: how and why

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485828)