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The minimal entropy martingale measures for geometric L�vy processes
14 references·16 citing·32 second hop
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this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
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  • 1990Hedging of contingent claims under incomplete information736 cited
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  • 1995Option pricing by Esscher transforms.651 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
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  • 2002Exponential Hedging and Entropic Penalties369 cited
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  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited

Cited by

  • 2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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104 cited
  • 2007Financial market models with Lévy processes and time-varying volatility94 cited
  • 2004Minimal entropy preserves the Lévy property: how and why86 cited
  • 2009Applications of Statistical Physics in Finance and Economics84 cited
  • 2006Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem73 cited
  • 2009OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING70 cited
  • 2007Minimal fq-martingale measures for exponential Lévy processes66 cited
  • 2005MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS54 cited
  • 2004On Minimization and Maximization of Entropy in Various Disciplines52 cited
  • 2007Retrieving Lévy processes from option prices : regularization of an ill-posed inverse problem43 cited
  • 2007Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model38 cited
  • 2006MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET37 cited
  • 2008A New Tempered Stable Distribution and Its Application to Finance33 cited
  • 2007Dynamic utility-based good deal bounds33 cited
  • 2013A fuzzy approach to option pricing in a Levy process setting31 cited
  • 2012General theory of geometric Lévy models for dynamic asset pricing30 cited