Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process

DOI10.1080/17442508.2019.1642339MaRDI QIDQ5086497zbMATH OpenOpenAlexFDO

Authors Maryam Tahmasebi, Gholamhossein Yari

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2019.1642339

zbMATH Keywords

relative entropylow-discrepancy sequenceexponential Lévy processminimal-entropy martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical aspects of information-theoretic topics (62B10) Random measures (60G57)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes
• Exponential Hedging and Entropic Penalties
• Fitting the variance-gamma model to financial data
• Handbook in Monte Carlo simulation. Applications in financial engineering, risk management, and economics
• Mathematical methods for financial markets.
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure
• The Variance Gamma Process and Option Pricing
• The minimal entropy martingale measures for geometric Lévy processes
• The relative entropy in CGMY processes and its applications to finance
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities

Cited in

(3)

• scientific article; zbMATH DE number 5910337 (Why is no real title available?)
• Monte-Carlo approximation of minimum entropy measures
• The minimal entropy martingale measures for geometric Lévy processes

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