On \(q\)-optimal martingale measures in exponential Lévy models

DOI10.1007/s00780-008-0067-7zbMath1164.91009OpenAlexW2009520599MaRDI QIDQ1003349

Christian Bender, Christina R. Niethammer

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0067-7

zbMATH Keywords

Lévy processesstochastic dualityminimal entropy martingale measure\(q\)-optimal martingale measure

Mathematics Subject Classification ID

Related Items (8)

THE MINIMAL κ-ENTROPY MARTINGALE MEASURE ⋮ \(q\)-optimal martingale measures for discrete time models ⋮ Power utility maximization under partial information: some convergence results ⋮ Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Exponential stock models driven by tempered stable processes ⋮ Mean Variance Hedging in a General Jump Model ⋮ POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS ⋮ Simplified stochastic calculus with applications in economics and finance

Cites Work

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