Levy Preservation and Associated Properties for f -Divergence Minimal Equivalent Martingale Measures

DOI10.1007/978-3-642-33549-5_9zbMath1279.60044arXiv1106.2743OpenAlexW1588231679MaRDI QIDQ2838141

Suzanne Cawston, Lioudmila Vostrikova

Publication date: 8 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.2743

zbMATH Keywords

minimal martingale measuresexponential Lévy models\(f\)-divergenceLévy preservation property

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) General theory of stochastic processes (60G07)

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