From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes

DOI10.1007/s10690-006-9019-4zbMath1154.91442OpenAlexW2071807753MaRDI QIDQ853860

Tsukasa Fujiwara

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9019-4

zbMATH Keywords

optimal strategyexponential utilityseparating measuregeometric Lévy processminimal entropy martingale measure(local) martingale measure

Mathematics Subject Classification ID

Related Items (4)

On the price of risk under a regime switching CGMY process ⋮ The minimal entropy martingale measures for exponential additive processes ⋮ Utility indifference hedging with exponential additive processes ⋮ An Equilibrium Model for Spot and Forward Prices of Commodities

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