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Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
[Zeitschriftenartikel]
Abstract In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale trasnform for exponential processes, and the minimal entropy martingale measure for exponential Lévy models and present some new results in order to give a com... mehr
In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale trasnform for exponential processes, and the minimal entropy martingale measure for exponential Lévy models and present some new results in order to give a complete characterization of those classes of measures. We illustrate the results with several concrete examples in detail.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
Stochastic Jumps; Levy processes; martingale measures; minimal entropy; Esscher transform; Mathematical Finance
Sprache Dokument
Englisch
Publikationsjahr
2006
Seitenangabe
S. 125-145
Zeitschriftentitel
Quantitative Finance, 6 (2006) 2
DOI
https://doi.org/10.1080/14697680600573099
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)