The minimal entropy martingale measure of a jump process influenced by jump times
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References listed on IDEAS
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
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- Yan, Jun, 2017. "Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 71-79.
More about this item
KeywordsRelative entropy; Minimal entropy martingale measure; Exponential martingale;
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