Minimal variance martingale measures for geometric Lévy processes

MaRDI QIDQ3504643zbMATH OpenFDO

Authors Susanne Klöppel, Yoshio Miyahara, Monique Jeanblanc

Publication date 11 June 2008

zbMATH Keywords

incomplete marketminimal entropy martingale measureminimal variance martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited in

(5)

• A note on the mean correcting martingale measure for geometric Lévy processes
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• scientific article; zbMATH DE number 5654635 (Why is no real title available?)
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
• The minimal entropy martingale measures for geometric Lévy processes

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