Minimal entropy preserves the Lévy property: how and why
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- Constantinos Kardaras, 2009. "No‐Free‐Lunch Equivalences For Exponential Lévy Models Under Convex Constraints On Investment," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 161-187, April.
- Constantinos Kardaras, 2008. "No-Free-Lunch equivalences for exponential Levy models," Papers 0803.2169, arXiv.org.
- Yan, Jun & Gao, Fuqing, 2013. "The minimal entropy martingale measure of a jump process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 83-88.
- Lioudmila Vostrikova & Yuchao Dong, 2018. "Utility maximization for L{\'e}vy switching models," Papers 1807.08982, arXiv.org.
- Thorsten Schmidt, 2014. "Catastrophe Insurance Modeled by Shot-Noise Processes," Risks, MDPI, vol. 2(1), pages 1-22, February.
- Rheinlander, Thorsten & Steiger, Gallus, 2006. "The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models," LSE Research Online Documents on Economics 16351, London School of Economics and Political Science, LSE Library.
- Fred Espen Benth & Carlo Sgarra, 2024. "A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets," Finance and Stochastics, Springer, vol. 28(4), pages 1035-1076, October.
- Hubalek, Friedrich & Sgarra, Carlo, 2009. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2137-2157, July.
- Thorsten Rheinländer & Gallus Steiger, 2010. "Utility Indifference Hedging with Exponential Additive Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 151-169, June.
- Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential L\'evy models," Papers 2101.11897, arXiv.org, revised Jul 2021.
- L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
- López Cabrera, Brenda & Odening, Martin & Ritter, Matthias, 2013. "Pricing rainfall futures at the CME," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4286-4298.
- Ivivi J. Mwaniki, 2017. "On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1358894-135, January.
- Ragnhild Noven & Almut Veraart & Axel Gandy, 2015. "A Lévy-driven rainfall model with applications to futures pricing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(4), pages 403-432, October.
- Lioudmila Vostrikova & Yuchao Dong, 2018. "Utility maximization for Lévy switching models," Working Papers hal-01844635, HAL.
- Antonis Papapantoleon, 2008. "An introduction to L\'{e}vy processes with applications in finance," Papers 0804.0482, arXiv.org, revised Nov 2008.
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Keywords
Lévy processes Martingale measures Relative entropy Minimal entropy martingale measure Mathematical finance Incomplete markets;Statistics
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