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Minimal q-entropy martingale measures for exponential time-changed Lévy processes

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  • Stefan Kassberger
  • Thomas Liebmann

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  • Stefan Kassberger & Thomas Liebmann, 2011. "Minimal q-entropy martingale measures for exponential time-changed Lévy processes," Finance and Stochastics, Springer, vol. 15(1), pages 117-140, January.
    • Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:117-140
    DOI: 10.1007/s00780-010-0133-9
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    References listed on IDEAS

    as
    1. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    2. Schweizer, Martin, 1999. "A minimality property of the minimal martingale measure," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 27-31, March.
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    Cited by:

    1. Kassberger, Stefan & Liebmann, Thomas, 2012. "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1304-1310.

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    More about this item

    Keywords

    Lévy process; Time change; Subordination; Generalized relative entropy; Martingale measures; 60G44; 60G51; 91B28; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

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