The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

DOI10.1214/105051606000000240zbMath1154.28305arXivmath/0610219OpenAlexW3099783684MaRDI QIDQ862208

Gallus Steiger, Thorsten Rheinländer

Publication date: 5 February 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610219

zbMATH Keywords

relative entropystochastic volatilitymartingale measures

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Entropy and other invariants (28D20) Stochastic integrals (60H05)

Related Items

The Minimal Entropy Martingale Measure for Exponential Markov Chains, The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model, On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps, Utility maximization in models with conditionally independent increments, Trading with small nonlinear price impact, Optimal martingale measures for defaultable assets, Utility indifference hedging with exponential additive processes, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps, The Föllmer-Schweizer decomposition: comparison and description, Optimal equivalent probability measures under enlarged filtrations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing contingent claims on stocks driven by Lévy processes
• Geometric Lévy process \& MEMM pricing model and related estimation problems
• The minimal entropy martingale measures for geometric Lévy processes
• On the minimal entropy martingale measure.
• Minimal entropy preserves the Lévy property: how and why
• An entropy approach to the Stein and Stein model with correlation
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Utility–indifference hedging and valuation via reaction–diffusion systems
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
• On Martingale Measures for Stochastic Processes with Independent Increments
• On the Existence of Minimax Martingale Measures
• Exponential Hedging and Entropic Penalties
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets