Pages that link to "Item:Q1000475"

The following pages link to Minimal entropy martingale measures of jump type price processes in incomplete assets markets (Q1000475):

Displaying 30 items.

• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities (Q492168) (← links)
• Regime-switching risk: to price or not to price? (Q655231) (← links)
• Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes (Q841858) (← links)
• A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations (Q850174) (← links)
• Geometric Lévy process \& MEMM pricing model and related estimation problems (Q1415423) (← links)
• The relations between minimal martingale measure and minimal entropy martingale measure (Q1415432) (← links)
• On the price of risk under a regime switching CGMY process (Q1627726) (← links)
• The minimal entropy martingale measure of a jump process influenced by jump times (Q1933702) (← links)
• Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk (Q1934414) (← links)
• The minimal entropy martingale measure in a market of traded financial and actuarial risks (Q2255722) (← links)
• Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility (Q2319098) (← links)
• Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
• On Bayesian value at risk: from linear to non-linear portfolios (Q2431780) (← links)
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps (Q2488497) (← links)
• A continuous-time model of self-protection (Q2697501) (← links)
• Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield (Q2701101) (← links)
• The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach (Q2862748) (← links)
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (Q2904891) (← links)
• Optimality of payoffs in Lévy models (Q2929383) (← links)
• (Q3405337) (← links)
• OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS (Q3467597) (← links)
• An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models (Q4561928) (← links)
• Pricing participating policies under the Meixner process and stochastic volatility (Q4577195) (← links)
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)
• APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES (Q5265239) (← links)
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
• SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION (Q5367497) (← links)
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (Q5692939) (← links)