Minimal q-entropy martingale measures for exponential time-changed Lévy processes

DOI10.1007/S00780-010-0133-9zbMATH Open1302.60073OpenAlexW2142054588MaRDI QIDQ483702FDOQ483702

Stefan Kassberger, Thomas Liebmann

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0133-9

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zbMATH Keywords

subordinationmartingale measurestime changegeneralized relative entropyLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)

Cites Work

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• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Minimal entropy preserves the Lévy property: how and why
• A minimality property of the minimal martingale measure
• Multivariate time changes for Lévy asset models: characterization and calibration
• On the Martingale Measures in Exponential Lévy Models

Cited In (10)

• Title not available (Why is that?)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• Risky Asset Models with Tempered Stable Fractal Activity Time
• The minimal entropy martingale measures for exponential additive processes
• Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
• Minimal entropy preserves the Lévy property: how and why
• Structure-preserving equivalent martingale measures for ℋ-SII models
• The Föllmer-Schweizer decomposition: comparison and description
• The minimal entropy martingale measures for geometric Lévy processes
• Title not available (Why is that?)

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