On the minimal entropy martingale measure for Lévy processes

DOI10.1080/17442508.2019.1693571zbMath1490.60111arXiv1912.06903OpenAlexW2990312403MaRDI QIDQ5086534

Hans-Jürgen Engelbert, Andrii Andrusiv

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.06903

zbMATH Keywords

minimal entropy martingale measuremoment generating functionsno-arbitrage conditionsEsscher martingale measureLévy financial markets

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Utility theory (91B16) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

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Cites Work

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