Pages that link to "Item:Q1424723"

The following pages link to The minimal entropy martingale measures for geometric Lévy processes (Q1424723):

Displaying 50 items.

• The mean correcting martingale measures for exponential additive processes (Q320605) (← links)
• Option pricing under jump-diffusion processes with regime switching (Q340129) (← links)
• Reviewing alternative characterizations of Meixner process (Q431510) (← links)
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
• Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
• A note on the mean correcting martingale measure for geometric Lévy processes (Q628236) (← links)
• Regime-switching risk: to price or not to price? (Q655231) (← links)
• The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
• Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes (Q841858) (← links)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
• Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (Q878214) (← links)
• Robustness of quadratic hedging strategies in finance via Fourier transforms (Q898933) (← links)
• The Föllmer-Schweizer decomposition: comparison and description (Q981002) (← links)
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets (Q1000475) (← links)
• On \(q\)-optimal martingale measures in exponential Lévy models (Q1003349) (← links)
• Securitization of motor insurance loss rate risks (Q1003816) (← links)
• Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure (Q1016619) (← links)
• Pricing contingent claims on stocks driven by Lévy processes (Q1305424) (← links)
• On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure (Q1639499) (← links)
• Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component (Q1761432) (← links)
• Accounting for risk aversion in derivatives purchase timing (Q1938997) (← links)
• Utility indifference hedging with exponential additive processes (Q1959132) (← links)
• Option pricing with discrete time jump processes (Q1994170) (← links)
• Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
• An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing (Q2241258) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Optimal equivalent probability measures under enlarged filtrations (Q2278882) (← links)
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
• Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
• The relative entropy in CGMY processes and its applications to finance (Q2472193) (← links)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
• Option pricing for time-change exponential Lévy model under MEMM (Q2480093) (← links)
• Minimal entropy preserves the Lévy property: how and why (Q2485828) (← links)
• Dynamic exponential utility indifference valuation (Q2572403) (← links)
• Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655) (← links)
• Quantification of Model Risk in Quadratic Hedging in Finance (Q2801795) (← links)
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (Q2904891) (← links)
• A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
• The exp-UIV for Markets with Partial Information and Complete Information (Q2929467) (← links)
• Optimal Exponential Utility in a Jump Bond Market (Q3081440) (← links)
• Rational term structure models with geometric Lévy martingales (Q3145086) (← links)
• The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728) (← links)
• Mean Variance Hedging in a General Jump Model (Q3565098) (← links)
• A New Tempered Stable Distribution and Its Application to Finance (Q3606096) (← links)
• Pricing jump risk with utility indifference (Q3623407) (← links)
• (Q3655477) (← links)
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes (Q4409037) (← links)
• An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models (Q4561928) (← links)