The Minimal Entropy Martingale Measure for Exponential Markov Chains
DOI10.1239/jap/1371648945zbMath1276.60079OpenAlexW2046394807MaRDI QIDQ5299561
No author found.
Publication date: 26 June 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1371648945
relative entropymartingale measurecontinuous-time Markov chainintensity matrixpricing and hedgingabsolutely continuous martingale measure
Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal martingale measures for defaultable assets
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- On the minimal entropy martingale measure.
- Anomalous PDEs in Markov chains: domains of validity and numerical solutions
- The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- Bond Market Structure in the Presence of Marked Point Processes
- Exponential Hedging and Entropic Penalties
- The Markov Chain Market
- Option pricing when underlying stock returns are discontinuous
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
This page was built for publication: The Minimal Entropy Martingale Measure for Exponential Markov Chains
