The mean correcting martingale measures for exponential additive processes
DOI10.1007/S11766-016-3135-3zbMATH Open1363.60072OpenAlexW2315531692MaRDI QIDQ320605FDOQ320605
Authors: Luogen Yao, Xiangqun Yang, Gang Yang 
Publication date: 6 October 2016
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-016-3135-3
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)
Cites Work
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- Stochastic Volatility for Lévy Processes
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- The minimal entropy martingale measure and the valuation problem in incomplete markets
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- A Discrete Time Equivalent Martingale Measure
- The minimal entropy martingale measures for geometric Lévy processes
- Lévy term structure models: no-arbitrage and completeness
- On the Existence of Minimax Martingale Measures
Cited In (6)
- A note on the mean correcting martingale measure for geometric Lévy processes
- Processes of Meixner type
- Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous s. p. d. e. 's
- Mean correcting martingale measure for exponential semimartingale market models
- Mean correcting transform method of martingale measures for geometric Lévy processes and its application
- Title not available (Why is that?)
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