Minimal variance martingale measures for geometric Lévy processes

zbMATH Open1140.60321MaRDI QIDQ3504643FDOQ3504643

Authors: Susanne Klöppel, Yoshio Miyahara, Monique Jeanblanc 

Publication date: 11 June 2008

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zbMATH Keywords

incomplete marketminimal entropy martingale measureminimal variance martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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
• Title not available (Why is that?)
• 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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