Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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- 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
(49)- The minimal entropy martingale measures for exponential additive processes
- On two-parametric Esscher transform for geometric CGMY Lévy processes
- Determination of the Lévy exponent in asset pricing models
- The risk premium and the Esscher transform in power markets
- Rational term structure models with geometric Lévy martingales
- Fair valuation of insurance contracts under Lévy process specifications
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- Moments of integrated exponential Lévy processes and applications to Asian options pricing
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- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
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- Pricing participating policies under the Meixner process and stochastic volatility
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- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
- Optimality of payoffs in Lévy models
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