The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model

DOI10.1007/s10690-011-9142-8zbMath1245.91092OpenAlexW1995905272MaRDI QIDQ431920

Romuald Hervé Momeya, Zied Ben Salah

Publication date: 3 July 2012

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9142-8

zbMATH Keywords

Lévy processregime switching modelMarkov additive processminimal entropy martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)

Related Items (6)

On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model ⋮ On the price of risk under a regime switching CGMY process ⋮ A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model ⋮ Lévy systems and the time value of ruin for Markov additive processes

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