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Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
[journal article]
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... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Basic Research, General Concepts and History of Economics
Method
theory application
Free Keywords
Stochastic Jumps; Levy processes; martingale measures; minimal entropy; Esscher transform; Mathematical Finance
Document language
English
Publication Year
2006
Page/Pages
p. 125-145
Journal
Quantitative Finance, 6 (2006) 2
DOI
https://doi.org/10.1080/14697680600573099
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)