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The minimal entropy martingale measures for geometric L�vy processes · Study

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ArticleThe minimal entropy martingale measures for geometric L�vy processes

Tsukasa Fujiwara2003

Article2003

The minimal entropy martingale measures for geometric L�vy processes

Tsukasa Fujiwara · Yoshio Miyahara

172 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1983Stochastic Differential Equations and Diffusion Processes 1990The Variance Gamma (V.G.) Model for Share Market Returns 1990Hedging of contingent claims under incomplete information 2014Stochastic Integration and Differential Equations : A New Approach 1995Option pricing by Esscher transforms.1989Optimal replication of contingent claims under transaction costs 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2000Pricing Via Utility Maximization and Entropy

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2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models 2007Financial market models with Lévy processes and time-varying volatility 2004Minimal entropy preserves the Lévy property: how and why 2009Applications of Statistical Physics in Finance and Economics 2006Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem 2009

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Year2003

Typearticle

Published2003-10-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations172

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800200097

openalex_workW2017392078

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OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING

2007Minimal fq-martingale measures for exponential Lévy processes

2005MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS