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

zbMATH Keywords

Lévy processes incomplete market stochastic volatility subordinators integro-partial differential equations density process minimal entropy martingale measure indifference pricing of derivatives

Mathematics Subject Classification ID

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)

Related Items (17)

Mean–variance portfolio selection based on a generalized BNS stochastic volatility model ⋮ The Minimal Entropy Martingale Measure for Exponential Markov Chains ⋮ The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model ⋮ On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps ⋮ The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models ⋮ Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes ⋮ Option pricing under risk-minimization criterion in an incomplete market with the finite difference method ⋮ Exponential stability of stochastic systems with delay and Poisson jumps ⋮ Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market ⋮ MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ Asymptotic power utility-based pricing and hedging ⋮ Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging ⋮ Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model ⋮ RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS

This page was built for publication: The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps