The minimal entropy martingale measures for exponential additive processes

DOI10.1007/S10690-009-9087-3zbMath1181.60068OpenAlexW1992813981MaRDI QIDQ841854

Tsukasa Fujiwara

Publication date: 18 September 2009

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

Full work available at URL: https://doi.org/10.1007/s10690-009-9087-3

zbMATH Keywords

exponential utilityminimal entropy martingale measuremaximization problemexponential additive processProcess with independent increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Utility theory (91B16) Generalizations of martingales (60G48)

Related Items (2)

The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model ⋮ Utility indifference hedging with exponential additive processes

Cites Work

• A Jump-Diffusion Model for Option Pricing
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• The cumulant process and Esscher's change of measure
• The minimal entropy martingale measures for geometric Lévy processes
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• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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