Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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Publication:5484637
DOI10.1080/14697680600573099zbMath1099.60033OpenAlexW2061422507MaRDI QIDQ5484637
Carlo Sgarra, Friedrich Hubalek
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22082
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)
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