Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes

DOI10.1007/s00780-010-0133-9zbMath1302.60073OpenAlexW2142054588MaRDI QIDQ483702

Stefan Kassberger, Thomas Liebmann

Publication date: 17 December 2014

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

Full work available at URL: https://doi.org/10.1007/s00780-010-0133-9

zbMATH Keywords

subordinationLévy processtime changemartingale measuresgeneralized relative entropy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)

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