Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
type: Item
instance of: scholarly article
title: Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
zbMATH Open document ID: 1302.60073
author: Stefan Kassberger
author: Thomas Liebmann
published in: Finance and Stochastics
publication date: 2014-12-17T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6381305
zbMATH Keywords: Lévy process
zbMATH Keywords: time change
zbMATH Keywords: subordination
zbMATH Keywords: generalized relative entropy
zbMATH Keywords: martingale measures
MaRDI profile type: Publication
full work available at URL: s00780-010-0133-9
OpenAlex ID: W2142054588
cites work: Lévy Processes and Stochastic Calculus
cites work: Q2738733
cites work: Stochastic Volatility for Lévy Processes
cites work: Pricing contingent claims on stocks driven by Lévy processes
cites work: Financial Modelling with Jump Processes
cites work: Minimal entropy preserves the Lévy property: how and why
cites work: Q3974816
cites work: The minimal entropy martingale measures for geometric Lévy processes
cites work: Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
cites work: Q4778955
cites work: Minimal \(f^q\)-Martingale measures for exponential Lévy processes
cites work: Multivariate time changes for Lévy asset models: characterization and calibration
cites work: Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
cites work: A minimality property of the minimal martingale measure
cites work: A guided tour through quadratic hedging approaches
cites work: On the Martingale Measures in Exponential Lévy Models
cites work: A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
DOI: 10.1007/S00780-010-0133-9
description: scientific article; zbMATH DE number 6381305