The Minimal Entropy Martingale Measure for Exponential Markov Chains

DOI10.1239/jap/1371648945zbMath1276.60079MaRDI QIDQ5299561

No author found.

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648945

zbMATH Keywords

relative entropy; martingale measure; continuous-time Markov chain; intensity matrix; pricing and hedging; absolutely continuous martingale measure

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

Related Items

Markov chain approximation and measure change for time-inhomogeneous stochastic processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal martingale measures for defaultable assets
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• On the minimal entropy martingale measure.
• Anomalous PDEs in Markov chains: domains of validity and numerical solutions
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Bond Market Structure in the Presence of Marked Point Processes
• Exponential Hedging and Entropic Penalties
• The Markov Chain Market
• Option pricing when underlying stock returns are discontinuous
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets