On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure

DOI10.1504/IJMOR.2015.070197zbMath1390.91292OpenAlexW2114056274MaRDI QIDQ1639499

Faouzi Trabelsi, Imen Ben Abdelwahed

Publication date: 13 June 2018

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2015.070197

zbMATH Keywords

relative entropyequivalent martingale measuresduality relationCGMY processEMMsmodel preserving minimal entropy martingale measureMPMEMMtwo-parametric Esscher martingale measureutility based indifference pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process

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