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On q-optimal martingale measures in exponential Lévy models

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  • Christian Bender
  • Christina Niethammer

Abstract

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Suggested Citation

  • Christian Bender & Christina Niethammer, 2008. "On q-optimal martingale measures in exponential Lévy models," Finance and Stochastics, Springer, vol. 12(3), pages 381-410, July.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:381-410
    DOI: 10.1007/s00780-008-0067-7
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    References listed on IDEAS

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    1. Sara Biagini & Marco Frittelli, 2007. "The supermartingale property of the optimal wealth process for general semimartingales," Finance and Stochastics, Springer, vol. 11(2), pages 253-266, April.
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    Cited by:

    1. Küchler Uwe & Tappe Stefan, 2009. "Option pricing in bilateral Gamma stock models," Statistics & Risk Modeling, De Gruyter, vol. 27(4), pages 281-307, December.
    2. Takuji Arai, 2008. "$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 869-888.
    3. Černý, Aleš & Ruf, Johannes, 2020. "Simplified stochastic calculus with applications in economics and finance," LSE Research Online Documents on Economics 108156, London School of Economics and Political Science, LSE Library.
    4. Covello, D. & Santacroce, M., 2010. "Power utility maximization under partial information: Some convergence results," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2016-2036, September.
    5. Takuji Arai & Muneki Kawaguchi, 2008. "q-Optimal Martingale Measures for Discrete Time Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 155-173, December.
    6. Uwe Kuchler & Stefan Tappe, 2019. "Option pricing in bilateral Gamma stock models," Papers 1907.09862, arXiv.org.
    7. Černý, Aleš & Ruf, Johannes, 2021. "Simplified stochastic calculus with applications in Economics and Finance," European Journal of Operational Research, Elsevier, vol. 293(2), pages 547-560.
    8. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
    9. Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
    10. Uwe Kuchler & Stefan Tappe, 2019. "Exponential stock models driven by tempered stable processes," Papers 1907.05142, arXiv.org.
    11. Alev{s} v{C}ern'y & Johannes Ruf, 2019. "Simplified stochastic calculus with applications in Economics and Finance," Papers 1912.03651, arXiv.org, revised Jan 2021.

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    More about this item

    Keywords

    Stochastic duality; q-optimal martingale measure; Minimal entropy martingale measure; Lévy processes; 91B28; 60H10; 60G51; 60J75; G11; C61;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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