Journal article | Zeitschriftenartikel
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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.
- Extent
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Seite(n): 125-145
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Quantitative Finance, 6(2)
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Event
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Geistige Schöpfung
- (who)
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Hubalek, Friedrich
Sgarra, Carlo
- Event
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Veröffentlichung
- (where)
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Vereinigtes Königreich
- (when)
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2006
- DOI
- URN
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urn:nbn:de:0168-ssoar-220820
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
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21.06.2024, 4:26 PM CEST
Data provider
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Hubalek, Friedrich
- Sgarra, Carlo
Time of origin
- 2006
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