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The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
16 references·1 citing·41 second hop
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (2006)The minimal entropy martingale measure fo…STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q ‐OPTIMAL MEASURE (2004)STOCHASTIC VOLATILITY MODELS,…Minimal entropy preserves the Lévy property: how and why (2004)Minimal entropy preserves the…The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003)Merton's portfolio optimizati…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Utility-Based Derivative Pricing in Incomplete Markets (2002)Utility-Based Derivative Pric…On the minimal entropy martingale measure (2002)On the minimal entropy martin…On the Existence of Minimax Martingale Measures (2002)On the Existence of Minimax M…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Modelling by Lévy Processess for Financial Econometrics (2001)Modelling by Lévy Processess …The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Sur l'int�grabilit� uniforme des martingales exponentielles (1978)Sur l'int�grabilit� uniforme …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Utility maximization in models with conditionally independent increments (2010)Utility maximization in model…Stochastic Differential Equations and Diffusion Processes (1983)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006)Financial market models with Lévy processes and time-varying volatility (2007)On Square Integrable Martingales (1967)Stochastic Differential Equations (1972)Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Stochastic Differential Equations (2006)Dynamic risk measures: Time consistency and risk measures from BMO martingales (2007)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized power variation and stochastic volatility models (2003)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Asymptotic analysis for stochastic volatility: martingale expansion (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)A general version of the fundamental theorem of asset pricing (1994)On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper (2002)The Theory of Good-Deal Pricing in Financial Markets (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)The cumulant process and Esscher's change of measure (2002)The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Optimal replication of contingent claims under transaction costs (1989)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Martingales and arbitrage in multiperiod securities markets (1979)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Option pricing and Esscher transform under regime switching (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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  • 2003Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type

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61 cited
  • 2002Utility-Based Derivative Pricing in Incomplete Markets57 cited
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    • 2010Utility maximization in models with conditionally independent increments19 cited