The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
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DOI: 10.1007/s10690-011-9142-8
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- Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
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Keywords
Incomplete markets; Minimal entropy martingale measure; Markov additive process; Lévy process; Regime-switching model;All these keywords.
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