The minimal entropy martingale measure of a jump process influenced by jump times
In this article, we consider the problem of the minimal entropy martingale measure of a jump process influenced by jump times. The minimal entropy martingale measure of the price process is given out by the exponential martingale method, and the expression of the corresponding relative entropy is also obtained.
Volume (Year): 83 (2013)
Issue (Month): 1 ()
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