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Minimal Distance Martingale Measures for Geometric Lévy Processes

In: Option Pricing In Incomplete Markets Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures

Author

Listed:
  • Yoshio Miyahara

    (Nagoya City University, Japan)

Abstract

The following sections are included:Minimal Distance ProblemThe Minimal Variance Equivalent Martingale Measure (MVEMM)Deterministic problemExistence theorem of the MVEMMGenerating triplet of Zt under MVEMMThe Minimal Lq Equivalent Martingale MeasureThe case of q > 1The case of 0 < q < 1The case of q < 0Minimal Entropy Martingale MeasuresConvergence of MLqEMM to MEMM (as q ↓ 1)Notes

Suggested Citation

  • Yoshio Miyahara, 2011. "Minimal Distance Martingale Measures for Geometric Lévy Processes," World Scientific Book Chapters, in: Option Pricing In Incomplete Markets Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, chapter 6, pages 47-73, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781848163485_0006
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