Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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Publication:5484637
DOI10.1080/14697680600573099zbMATH Open1099.60033OpenAlexW2061422507MaRDI QIDQ5484637FDOQ5484637
Authors: Friedrich Hubalek, Carlo Sgarra 
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22082
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Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)
Cites Work
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Cited In (48)
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- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
- Cost-efficiency in multivariate Lévy models
- SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH
- Price Index Insurances in the Agriculture Markets
- Agricultural Insurance Ratemaking: Development of a New Premium Principle
- On Convergence to the Exponential Utility Problem with Jumps
- Reviewing alternative characterizations of Meixner process
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- Minimal entropy preserves the Lévy property: how and why
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
- Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
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- On the construction of optimal payoffs
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- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
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- Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process
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