The minimal entropy martingale measures for exponential additive processes
type: Item
instance of: scholarly article
title: The minimal entropy martingale measures for exponential additive processes
zbMATH Open document ID: 1181.60068
author: Tsukasa Fujiwara
published in: Asia-Pacific Financial Markets
publication date: 2009-09-18T00:00:00Z
review text: The author considers a real-valued additive process, that is, a stochastic process with independent increments (not obligatory with stationary increments) and supposes that this additive process is quasi-left continuous semimartingale. Exponential moments of such processes and connected stochastic integrals are calculated. The exponential additive process is considered as the price process of a risky asset and, under comparatively mild conditions on the semimartingale characteristics, the existence of minimal martingale measure is established. As an application, exponential utility maximization problem in the market model based on the exponential additive process is studied and the optimal strategy is deduced. Several examples are considered, such as time-dependent versions of double Poisson model, Merton model and Kou model.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 5604985
zbMATH Keywords: Process with independent increments
zbMATH Keywords: exponential additive process
zbMATH Keywords: minimal entropy martingale measure
zbMATH Keywords: maximization problem
zbMATH Keywords: exponential utility
MaRDI profile type: Publication
full work available at URL: s10690-009-9087-3
OpenAlex ID: W1992813981
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DOI: 10.1007/S10690-009-9087-3
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description: scientific article; zbMATH DE number 5604985