Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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Cites work
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Exponential Hedging and Entropic Penalties
- Exponential families of stochastic processes
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- On the super replication price of unbounded claims
- Optimal portfolios for exponential Lévy processes.
- Pricing contingent claims on stocks driven by Lévy processes
- The cumulant process and Esscher's change of measure
- The minimal entropy martingale measures for geometric Lévy processes
- Utility maximization in incomplete markets for unbounded processes
Cited in
(51)- 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
- On two-parametric Esscher transform for geometric CGMY Lévy processes
- Structure-preserving equivalent martingale measures for H-SII models
- Lévy preservation and associated properties for \(f\)-divergence minimal equivalent martingale measures
- Tempered positive Linnik processes and their representations
- Determination of the Lévy exponent in asset pricing models
- Rational term structure models with geometric Lévy martingales
- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- Cost-efficiency in multivariate Lévy models
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
- Agricultural Insurance Ratemaking: Development of a New Premium Principle
- Reviewing alternative characterizations of Meixner process
- Optimal martingale measures for defaultable assets
- On Convergence to the Exponential Utility Problem with Jumps
- On \(q\)-optimal martingale measures in exponential Lévy models
- A data-driven framework for consistent financial valuation and risk measurement
- Trade duration risk in subdiffusive financial models
- The minimal entropy martingale measure for exponential Markov chains
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- An equilibrium model for spot and forward prices of commodities
- The risk premium and the Esscher transform in power markets
- The quintessential option pricing formula under Lévy processes
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- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
- Minimal entropy preserves the Lévy property: how and why
- Default prediction with the Merton-type structural model based on the NIG Lévy process
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Price index insurances in the agriculture markets
- On the minimal entropy martingale measure for Lévy processes
- Pricing participating policies under the Meixner process and stochastic volatility
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
- The second-order Esscher martingale densities for continuous-time market models
- On the construction of optimal payoffs
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- Investor determined dividend policies
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- Existence and uniqueness of martingale measures in exponential Lévy models
- Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
- Pricing and capital requirements for with profit contracts: modelling considerations
- Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
- Minimal variance martingale measures for geometric Lévy processes
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
- Fair valuation of insurance contracts under Lévy process specifications
- Optimality of payoffs in Lévy models
- The minimal entropy measure and an Esscher transform in an incomplete market model
- NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
- Lévy-Ito models in finance
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