Esscher transforms and the minimal entropy martingale measure for exponential Levy models
AbstractIn this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale transform for exponential processes, and the minimal entropy martingale measure for exponential Levy models, and present some new results in order to give a complete characterization of those classes of measures. We illustrate the results with several concrete examples in detail.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 6 (2006)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/RQUF20
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