The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
DOI10.1007/s00780-005-0161-zzbMath1092.91020OpenAlexW4249549160MaRDI QIDQ2488497
Thilo Meyer-Brandis, Fred Espen Benth
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-005-0161-z
Lévy processesincomplete marketstochastic volatilitysubordinatorsintegro-partial differential equationsdensity processminimal entropy martingale measureindifference pricing of derivatives
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)
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