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

DOI10.1007/S00780-010-0133-9MaRDI QIDQ483702zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

subordinationmartingale measurestime changegeneralized relative entropyLévy process

Mathematics Subject Classification ID

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

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• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
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• Minimal entropy preserves the Lévy property: how and why
• Multivariate time changes for Lévy asset models: characterization and calibration
• On the Martingale Measures in Exponential Lévy Models
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Pricing contingent claims on stocks driven by Lévy processes
• Stochastic Volatility for Lévy Processes
• The minimal entropy martingale measures for geometric Lévy processes

Cited in

(11)

• scientific article; zbMATH DE number 5840049 (Why is no real title available?)
• Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process
• Structure-preserving equivalent martingale measures for \(\mathcal H\)-SII models
• Risky asset models with tempered stable fractal activity time
• scientific article; zbMATH DE number 2062295 (Why is no real title available?)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• 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
• The Föllmer-Schweizer decomposition: comparison and description
• The minimal entropy martingale measures for geometric Lévy processes

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