MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE

DOI10.1111/j.1467-9965.2006.00258.xzbMath1136.91420OpenAlexW2046939348MaRDI QIDQ5472774

Tahir Choulli, Christophe Stricker

Publication date: 12 June 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00258.x

Mathematics Subject Classification ID

Related Items (11)

The minimal entropy martingale measures for exponential additive processes ⋮ Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps ⋮ Three Essays on Exponential Hedging with Variable Exit Times ⋮ Explicit Description of HARA Forward Utilities and Their Optimal Portfolios ⋮ Mean Variance Hedging in a General Jump Model ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET ⋮ Locally Ф-integrable σ-martingale densitiesfor general semimartingales ⋮ Minimal Hellinger martingale measures of order \(q\) ⋮ Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure

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